Optimal non-proportional reinsurance control and stochastic differential games

By Michael I. Taksar, Xudong Zeng. 2011

65 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9318161bf65133e7d27e60fea8a33594673a59d2

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
3. George Yin
4. Fuke Wu
5. Zhuo Jin
6. Catherine Donnelly

In Economics and Econometrics

1. Lv Chen
2. Yang Shen
3. George Yin
4. Fuke Wu
5. Zhuo Jin
6. Catherine Donnelly

In Management Science and Operations Research

1. Lv Chen
2. George Yin
3. Yang Shen
4. Fuke Wu
5. Zhuo Jin

Citations in the corpus

• Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013, methodology): “For diffusion models, optimal game strategies could be obtained as in Taksar and Zeng (2011). Nevertheless, jump diffusion models incorporated with market switching are more realistic.”
• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “For instance, Zeng (2010) and Taksar and Zeng (2011) studied zero-sum stochastic differential 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…”