A class of nonzero-sum investment and reinsurance games subject to systematic risks

DOI10.1080/03461238.2016.1228542zbMath1402.91215OpenAlexW2523136883MaRDI QIDQ4577200

Chi Chung Siu, Hui Zhao, Hailiang Yang, Sheung Chi Phillip Yam

Publication date: 17 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/63026

zbMATH Keywords

excess-of-loss reinsuranceNash equilibriumHeston stochastic volatility modelfixed-point problemsHamilton-Jacobi-Bellman (HJB) equationcompound Poisson risk modelsystematic risks\(\epsilon\)-Nash equilibriumnonzero-sum stochastic differential game

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Related Items (14)

Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks ⋮ Robust reinsurance contracts with risk constraint ⋮ A reinsurance and investment game between two insurers under the CEV model ⋮ Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation ⋮ Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns ⋮ Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle ⋮ Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

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