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Optimal Reinsurance-Investment Problem under a CEV Model: Stochastic Differential Game Formulation
المؤلفون المشاركون
Li, Cunfang
Li, Danping
Chen, Ruiqing
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-19، 19ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2020-04-21
دولة النشر
مصر
عدد الصفحات
19
التخصصات الرئيسية
الملخص EN
This paper focuses on a stochastic differential game played between two insurance companies, a big one and a small one.
In our model, the basic claim process is assumed to follow a Brownian motion with drift.
Both of two insurance companies purchase the reinsurance, respectively.
The big company has sufficient asset to invest in the risky asset which is described by the constant elasticity of variance (CEV) model and acquire new business like acting as a reinsurance company of other insurance companies, while the small company can invest in the risk-free asset and purchase reinsurance.
The game studied here is zero-sum where there is a single exponential utility.
The big company is trying to maximize the expected exponential utility of the terminal wealth to keep its advantage on surplus while simultaneously the small company is trying to minimize the same quantity to reduce its disadvantage.
In this paper, we describe the Nash equilibrium of the game and prove a verification theorem for the exponential utility.
By solving the corresponding Fleming-Bellman-Isaacs equations, we derive the optimal reinsurance and investment strategies.
Furthermore, numerical examples are presented to show our results.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Li, Danping& Chen, Ruiqing& Li, Cunfang. 2020. Optimal Reinsurance-Investment Problem under a CEV Model: Stochastic Differential Game Formulation. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-19.
https://search.emarefa.net/detail/BIM-1197826
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Li, Danping…[et al.]. Optimal Reinsurance-Investment Problem under a CEV Model: Stochastic Differential Game Formulation. Mathematical Problems in Engineering No. 2020 (2020), pp.1-19.
https://search.emarefa.net/detail/BIM-1197826
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Li, Danping& Chen, Ruiqing& Li, Cunfang. Optimal Reinsurance-Investment Problem under a CEV Model: Stochastic Differential Game Formulation. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-19.
https://search.emarefa.net/detail/BIM-1197826
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1197826
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