Journal article

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

Ning Wang, Nan Zhang, Zhuo Jin, Linyi Qian

Insurance Mathematics and Economics | ELSEVIER | Published : 2021

University of Melbourne Researchers

Grants

Awarded by National Social Science Foundation Key Program, China


Awarded by National Natural Science Foundation of China


Awarded by State Key Program of National Natural Science Foundation of China


Awarded by 111 Project, China


Awarded by Research Grants Council of the Hong Kong Special Administrative Region, China


Funding Acknowledgements

We thank the editor and the referees for their helpful comments. This work was supported in part by the National Social Science Foundation Key Program, China (17ZDA091), National Natural Science Foundation of China (11901201, 11771147, 11971172, 11871220), the State Key Program of National Natural Science Foundation of China (71931004), the 111 Project, China (B14019), Research Grants Council of the Hong Kong Special Administrative Region, China (HKU 17330816) and Faculty Research Grant of The University of Melbourne, Australia.