A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market

[1]  Xudong Zeng,et al.  Non-Zero-Sum Stochastic Differential Reinsurance and Investment Games with Default Risk , 2015, Eur. J. Oper. Res..

[2]  Helu Xiao,et al.  Time-Consistent Investment and Reinsurance Strategies for Insurers Under Multi-Period Mean-Variance Formulation with Generalized Correlated Returns , 2019, Journal of Management Science and Engineering.

[3]  Bernt Øksendal,et al.  Some Solvable Stochastic Control Problems With Delay , 2000 .

[4]  Yang Shen,et al.  Time-Consistent Investment-Reinsurance Strategy for Mean-Variance Insurers With a Defaultable Security , 2016 .

[5]  Yang Shen,et al.  Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach☆ , 2014 .

[6]  Tao Pang,et al.  A Stochastic Portfolio Optimization Model with Bounded Memory , 2011, Math. Oper. Res..

[7]  Xudong Zeng,et al.  Optimal non-proportional reinsurance control and stochastic differential games , 2011 .

[8]  Zhongbao Zhou,et al.  A hybrid stochastic differential reinsurance and investment game with bounded memory , 2019, Eur. J. Oper. Res..

[9]  Hui Zhao,et al.  Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market , 2019, Journal of Mathematical Analysis and Applications.

[10]  Xudong Zeng,et al.  A stochastic differential reinsurance game , 2010, Journal of Applied Probability.

[11]  T. Bielecki,et al.  Portfolio optimization with a defaultable security , 2007 .

[12]  Yang Shen,et al.  ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER , 2018, ASTIN Bulletin.

[13]  Hui Zhao,et al.  Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model , 2017 .

[14]  Salvatore Federico,et al.  A stochastic control problem with delay arising in a pension fund model , 2011, Finance Stochastics.

[15]  Zhongbao Zhou,et al.  A Stackelberg reinsurance–investment game with asymmetric information and delay , 2020, Optimization.

[16]  Yan Zeng,et al.  Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model , 2012 .

[17]  Hailong Wang,et al.  Robust reinsurance contracts with uncertainty about jump risk , 2018, Eur. J. Oper. Res..

[18]  David C. Emanuel,et al.  Further Results on the Constant Elasticity of Variance Call Option Pricing Model , 1982, Journal of Financial and Quantitative Analysis.

[19]  Hui Zhao,et al.  Stochastic differential game formulation on the reinsurance and investment problem , 2015, Int. J. Control.

[20]  Ning Wang,et al.  Robust non-zero-sum investment and reinsurance game with default risk , 2019, Insurance: Mathematics and Economics.

[21]  A reinsurance game between two insurance companies with nonlinear risk processes , 2015 .

[22]  Yang Shen,et al.  Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework , 2019, Insurance: Mathematics and Economics.

[23]  A stochastic Nash equilibrium portfolio game between two DC pension funds , 2016 .

[24]  Mengdi Gu,et al.  Constant elasticity of variance model for proportional reinsurance and investment strategies , 2010 .

[25]  Yingchun Deng,et al.  Optimal reinsurance and investment problem for an insurer with counterparty risk , 2015 .

[26]  Zhongfei Li,et al.  Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model , 2015 .

[27]  Alain Bensoussan,et al.  A class of non-zero-sum stochastic differential investment and reinsurance games , 2014, Autom..

[28]  Junyi Guo,et al.  Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint , 2008 .

[29]  Zhongfei Li,et al.  Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model , 2013 .

[30]  B. Larssen Dynamic programming in stochastic control of systems with delay , 2002 .

[31]  Sid Browne,et al.  Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin , 1995, Math. Oper. Res..

[32]  Junna Bi,et al.  Optimal mean–variance reinsurance and investment in a jump-diffusion financial market with common shock dependence , 2016, Math. Methods Oper. Res..

[33]  Yi Shao,et al.  Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model , 2018, J. Comput. Appl. Math..