Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Year of publication: |
2021
|
---|---|
Authors: | Wang, Ning ; Zhang, Nan ; Zhuo, Jin ; Qian, Linyi |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 168-184
|
Subject: | Non-zero-sum stochastic differential game | Dynamic Value-at-Risk (VaR) | Quadratic risk process | Relative performance | Nash equilibrium | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Stochastisches Spiel | Stochastic game | Nash-Gleichgewicht | Risiko | Risk | Spieltheorie | Game theory | Risikomanagement | Risk management | VAR-Modell | VAR model | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection |
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