A Stackelberg reinsurance-investment game with derivatives trading
Abstract This paper studies a stochastic Stackelberg differential reinsurance-investment game with derivatives trading under a stochastic volatility model. The reinsurer who occupies a monopoly position can price a reinsurance premium and invest her wealth in the financial market consisting of a ris...
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| Principais autores: | , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
SpringerOpen
2023-04-01
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| Serier: | Boundary Value Problems |
| Fag: | |
| Online adgang: | https://doi.org/10.1186/s13661-023-01731-4 |
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