2020 journal article
Nonzero-Sum Stochastic Differential Reinsurance Games with Jump-Diffusion Processes
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 187(2), 566–584.
author keywords: Hamilton-Jacobi-Bellman equation; Stochastic differential game; Nonzero-sum reinsurance game; Jump-diffusion process
TL;DR:
A model including controls for the market share, investment, and reinsurance policies is considered, and closed-form solutions for optimal strategies are derived by applying the Hamilton–Jacobi–Bellman equation.
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Added: October 19, 2020