6 citations · 30 across the 63 of their papers we have counts for
15 papers · 1 filter
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (A…
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
Guohui Guan, Zongxia Liang, Yi Xia
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insu…
Constrained portfolio game with heterogeneous agents
Zongxia Liang, Keyu Zhang, Yaqi Zhuang
We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is c…
Equilibrium portfolio selection under beliefs-dependent utilities
Xiaochen Chen, Guohui Guan, Zongxia Liang
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investo…
Dynamic Investment-Driven Insurance Pricing and Optimal Regulation
Bingzheng Chen, Zongxia Liang, Shunzhi Pang
This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible e…
Robust Portfolio Selection under State-dependent Confidence Set
Guohui Guan, Yuting Jia, Zongxia Liang
This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asse…