Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
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DOI: 10.1016/j.insmatheco.2023.11.004
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Cited by:
- Zongxia Liang & Xiaodong Luo, 2024. "Stackelberg reinsurance and premium decisions with MV criterion and irreversibility," Papers 2402.11580, arXiv.org.
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More about this item
Keywords
Game theory; Reinsurance-investment strategy; Mispricing; Default risk; M-matrix;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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