Robust optimal reinsurance-investment problem for n competitive and cooperative insurers under ambiguity aversion

Robust optimal reinsurance-investment problem for n competitive and cooperative insurers under ambiguity aversion

We investigate a robust optimal reinsurance-investment problem for $ n $ insurers under multiple interactions, which arise from the insurance market, the financial market, the competition mechanism and the cooperation mechanism. Each insurer's surplus process is assumed to follow a diffusion mo...

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Bibliographic Details
Main Author: Peng Yang
Format: Article
Language:English
Published: AIMS Press 2023-08-01
Series:AIMS Mathematics
Subjects:
robust optimal strategy
competition
cooperation
stochastic control
ambiguity aversion
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20231283?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.20231283?viewType=HTML

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