Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests
This paper investigates the generalized multi-period mean-variance investment-reinsurance optimization model in a discrete-time framework for a general insurance company that contains a reinsurer and an insurer. The intertemporal restrictions and the common interests of the reinsurer and the insurer...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-01-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/1/139 |