Optimal Reinsurance-Investment Problem under a CEV Model: Stochastic Differential Game Formulation
نویسندگان
چکیده
منابع مشابه
A Stochastic Differential Reinsurance Game
We study a stochastic differential game between two insurance companies who employ reinsurance to reduce the risk of exposure. Under the assumption that the companies have large insurance portfolios compared to any individual claim size, their surplus processes can be approximated by stochastic differential equations. We formulate competition between the two companies as a game with a single pa...
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2020
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2020/7265121