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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 70, 2021 - Issue 10
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Articles

A Stackelberg reinsurance–investment game with asymmetric information and delay

Yanfei Baia School of Business Administration, Hunan University, Changsha, People's Republic of ChinaView further author information
,
Zhongbao Zhoua School of Business Administration, Hunan University, Changsha, People's Republic of ChinaCorrespondence[email protected] [email protected]
ORCID Iconhttps://orcid.org/0000-0002-0029-5158View further author information
ORCID Icon,
Helu Xiaob Business School, Hunan Normal University, Changsha, People's Republic of ChinaView further author information
&
Rui Gaoc School of Mathematics, Hunan University, Changsha, People's Republic of ChinaView further author information
Pages 2131-2168 | Received 03 Apr 2019, Accepted 19 May 2020, Published online: 11 Jun 2020

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Read on this site (6)

Guohui Guan, Zongxia Liang & Yilun Song. (2024) A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility. Scandinavian Actuarial Journal 2024:1, pages 28-63.
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Jingyi Cao, Dongchen Li, Virginia R. Young & Bin Zou. (2023) Stackelberg differential game for insurance under model ambiguity: general divergence. Scandinavian Actuarial Journal 2023:7, pages 735-763.
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Menghao Shao, Shihuang Hong, Xiaoyu Cao & Xinggang Luo. (2023) Existence of value functions of differential games with incomplete information in partially order spaces. Optimization 72:5, pages 1285-1307.
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Duni Hu & Hailong Wang. (2022) Robust reinsurance contract with learning and ambiguity aversion. Scandinavian Actuarial Journal 2022:9, pages 794-815.
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Yongtao Zhang, Hui Zhao, Ximin Rong & Kai Han. (2022) Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk. Communications in Statistics - Theory and Methods 51:19, pages 6535-6558.
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Qingqing Zhang, Zhibin Liang & Fudong Wang. A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game. Scandinavian Actuarial Journal 0:0, pages 1-34.
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Articles from other publishers (9)

Guoyong Zhou, Zhijian Qiu & Sheng Li. (2024) A hybrid reinsurance-investment game with delay and asymmetric information. Journal of Computational and Applied Mathematics 440, pages 115491.
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Man Li, Ying Huang, Ya Huang & Jieming Zhou. (2024) Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction. Mathematics and Financial Economics.
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Wenjing Hao, Zhijian Qiu & Lu Li. (2023) The investment and reinsurance game of insurers and reinsurers with default risk under CEV model. RAIRO - Operations Research 57:5, pages 2853-2872.
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Zefeng Zhao, Haohao Cai, Huawei Ma, Shujie Zou & Chiawei Chu. (2023) Optimal Multi-Attribute Auctions Based on Multi-Scale Loss Network. Mathematics 11:14, pages 3240.
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Tao Wang, Zhiping Chen & Peng Yang. (2023) Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer. IMA Journal of Management Mathematics.
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Ning Bin, Huainian Zhu & Chengke Zhang. (2023) Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model. Methodology and Computing in Applied Probability 25:2.
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Rui Gao & Yanfei Bai. (2023) A Stackelberg reinsurance-investment game with derivatives trading. Boundary Value Problems 2023:1.
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Weijun Meng & Jingtao Shi. (2022) A linear quadratic stochastic Stackelberg differential game with time delay. Mathematical Control and Related Fields 12:3, pages 581.
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Yanfei Bai, Zhongbao Zhou, Helu Xiao, Rui Gao & Feimin Zhong. (2021) A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market. Mathematical Methods of Operations Research 94:3, pages 341-381.
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