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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

โœ Scribed by Xiang Lin; Chunhong Zhang; Tak Kuen Siu

Book ID
105857620
Publisher
Springer
Year
2011
Tongue
English
Weight
210 KB
Volume
75
Category
Article
ISSN
0340-9422

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Stochastic differential portfolio games
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
โœ Xiang Lin; Chunhong Zhang; Tak Kuen Siu ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Springer ๐ŸŒ English โš– 210 KB

We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zerosum, stochastic differential game between the insurer