Stochastic differential games between two insurers with generalized mean-variance premium principle
By Shumin Chen, Hailiang Yang and Yan Zeng
| Year of publication: |
2018
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|---|---|
| Authors: | Chen, Shumin ; Yang, Hailiang ; Zeng, Yan |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 1, p. 413-434
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| Subject: | Reinsurance | generalized mean-variance premium principle | non-zero sum game | equilibrium strategy | Hamilton-Jacobi-Bellman equation | Rückversicherung | Spieltheorie | Game theory | Risikomodell | Risk model | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Stochastisches Spiel | Stochastic game |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2017.35 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011875615