Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods

By Zhuo Jin, George Yin, Fuke Wu. 2013

58 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7f834abffb183bf49c8f913638b3a0c4e45e0926

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Lv Chen
2. Yang Shen

In Economics and Econometrics

1. Lv Chen
2. Yang Shen

In Finance

1. Lv Chen
2. Yang Shen

Citations in the corpus

• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “…games between two insurance companies that compete with each other on their surplus processes and apply reinsurance to reduce risk exposure; Jin et al. (2013) discussed the case for regime-switching jump-diffusion models and developed a Markov chain approximation method to solve the game…”