A stochastic differential reinsurance game

By Xudong Zeng. Journal of Applied Probability, 2010

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Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013, background): “For the study of stochastic differential games related to reinsurance and investment, we refer to Elliott and Siu (2011); Suijs et al. (1998); Zeng (2010).”
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…”
Optimal non-proportional reinsurance control and stochastic differential games (2011, background): “The stochastic differential games for a diffusion model with proportional reinsurance are studied in Zeng (2010b).”