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A reinsurance and investment game between two insurance companies with the different opinions about some extra information
Affiliation:1. School of Finance, Zhongnan University of Economics and Law, Nanhu Road, Wuhan, PR China;2. Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong;3. School of Finance, Nankai University, Weijin Road, Tianjin, PR China;1. Centro de Gestión de la Calidad y del Cambio, Universitat Politècnica de València, Spain;2. Cass Business School, City, University of London, United Kingdom;3. Grupo de Sistemas de Optimización Aplicada, Instituto Tecnológico de Informática, Universitat Politècnica de València, Spain;1. Korteweg–de Vries Institute for Mathematics, University of Amsterdam, Science Park 107, 1098 XH Amsterdam, The Netherlands;2. Rabobank, Croeselaan 18, 3521 CB Utrecht, The Netherlands;3. CWI - National Research Institute of Applied Mathematics and Computer Science, Science Park 123, 1098 XG Amsterdam, The Netherlands;4. Radboud University, Heyendaalseweg 135, 6525 AJ Nijmegen, The Netherlands;1. School of Mathematics and Computer Science, Anhui Normal University, Wuhu, Anhui, China;2. School of Finance, Nanjing University of Finance and Economics, Nanjing, Jiangsu, China;1. College of Business Administration, Hunan University, 410082, Changsha, PR China;2. College of Mathematics and Computer Science, Hunan Normal University, 410081, Changsha, PR China
Abstract:
Keywords:Non-zero-sum stochastic differential game  Enlargement of filtration  Hamilton–Jacobi–Bellman equations  Relative performance  Nash equilibrium
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