A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market.
Yanfei BaiZhongbao ZhouHelu XiaoRui GaoFeimin ZhongPublished in: Math. Methods Oper. Res. (2021)
Keyphrases
- game theory
- nash equilibrium
- nash equilibria
- stackelberg game
- market data
- risk aversion
- game theoretic
- decision making
- leader follower
- equilibrium strategies
- asset allocation
- mixed strategy
- real option
- portfolio management
- stock market
- pricing schemes
- virtual world
- investment strategies
- financial institutions
- video games
- monte carlo
- investment decisions
- competitive market
- computer games
- utility function
- educational games
- cooperative
- market share
- stochastic model
- multi agent systems
- strategic decisions
- electronic markets
- market prices
- financial markets
- stock price
- incomplete information