Non-zero-sum stochastic differential reinsurance and investment games with default risk.
Chao DengXudong ZengHuiming ZhuPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- stochastic games
- game theory
- nash equilibria
- boolean games
- risk aversion
- decision making
- repeated games
- portfolio management
- investment decisions
- nash equilibrium
- learning automata
- perfect information
- risk assessment
- incomplete information
- risk averse
- stochastic programming
- asset allocation
- chance constraints
- risk management
- risk factors
- monte carlo
- game theoretic
- utility function
- high risk
- multi agent systems
- video games
- game playing
- return on investment
- real option
- long run
- game play
- default rules
- investment strategies
- market data
- imperfect information