荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
Stochastic differential game formulation on the reinsurance and investment problem
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- 所属单位:School of Sciences
- 发表刊物:INTERNATIONAL JOURNAL OF CONTROL
- 刊物所在地:ENGLAND
- 关键字:stochastic differential game; stochastic control; reinsurance and investment; Nash equilibrium strat
- 摘要:This paper focuses on a stochastic differential game between two insurance companies, a big one and a small one. The big company has sufficient asset to invest in a risk-free asset and a risky asset and is allowed to purchase proportional reinsurance or acquire new business, and the small company can transfer part of the risk to a reinsurer via proportional reinsurance. The game studied here is zero-sum, where the big company is trying to maximise the expected exponential utility of the difference between two insurance companies' surpluses at the terminal time to keep its advantage on surplus.
- 合写作者:Li Danping, Rong Ximin, Zhao Hui
- 第一作者:Li Danping
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI:CN1ES
- 卷号:88
- 期号:9
- 页面范围:1861-1877
- ISSN号:0020-7179
- 是否译文:否