研究论文
A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints
Xingchun Peng, Yushuang Wang
Wuhan University of Technology
来源The North American Journal of Economics and Finance
年份2023
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经济 / 管理Insurance and Financial Risk Management
Insurance, Mortality, Demography, Risk Management · Risk and Portfolio Optimization
参考文献 41
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
被引 355Tomas Björk, Agatha Murgoci · SSRN Electronic Journal · 2010
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
被引 63Lin Xiang, Yiping Qian · Scandinavian Actuarial Journal · 2015
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
被引 159Gilles‐Edouard Espinosa, Nizar Touzi · Mathematical Finance · 2013
此处列出前 3 条
引用本文 6
n -Agent reinsurance and investment games for mean-variance insurers under multivariate 4/2 stochastic covariance model
被引 2Ning Bin, Huainian Zhu · Communication in Statistics- Theory and Methods · 2025
Robust Nash equilibrium for Asset-Liability Management Games Under Money Illusion and Mean-Reverting Return
被引 0Yumo Zhang, Peter Pommergård Lind, Hanqing Xiang · Methodology And Computing In Applied Probability · 2026
Nash equilibrium in insurance pricing and investment under common shocks
被引 0Jinjin Zhang, Caibin Zhang · Finance research letters · 2025
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