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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

Wang, N; Zhang, N; Jin, Z; Qian, LY

Zhang, N (corresponding author), East China Normal Univ, Sch Stat, Key Lab Adv Theory & Applicat Stat & Data Sci MOE, 3663 North Zhongshan Rd, Shanghai 200062, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 96 (): 168

Abstract

This paper investigates a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. We allow bot......

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