Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle

IF 1.6 3区经济学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Scandinavian Actuarial Journal Pub Date : 2024-01-30 DOI:10.1080/03461238.2024.2307625

Caibin Zhang, Zhibin Liang

引用次数: 0

Abstract

This paper considers a non-zero-sum stochastic differential reinsurance and investment game between two competitive insurers under the expected exponential utility. It is assumed that the surplus p...

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稀疏依赖结构下的非零和再保险与投资博弈：均值-方差溢价原理

本文考虑了在预期指数效用下，两个竞争性保险公司之间的非零和随机差分再保险和投资博弈。假设盈余的...

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来源期刊

Scandinavian Actuarial Journal MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

3.30

自引率

11.10%

发文量

审稿时长

>12 weeks

期刊介绍： Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters. The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.