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A Reinsurance and Investment Game between Two Insurers under the CEV Model
Joint Authors
Zhang, Gongliang
Cheng, Shuo
Li, Ziye
Cao, Ming
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-21
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
In this paper, the problem of nonzero-sum stochastic differential game between two competing insurance companies is considered, i.e., the relative performance concerns.
A certain proportion of reinsurance can be taken out by each insurer to control his own risk.
Moreover, each insurer can invest in a risk-free asset and risk asset with the price dramatically following the constant elasticity of variance (CEV) model.
Based on the principle of dynamic programming, a general framework regarding Nash equilibrium for nonzero-sum games is established.
For the typical case of exponential utilization, we, respectively, give the explicit solutions of the equilibrium strategy as well as the equilibrium function.
Some numerical studies are provided at last which assist in obtaining some economic explanations.
American Psychological Association (APA)
Zhang, Gongliang& Cheng, Shuo& Li, Ziye& Cao, Ming. 2020. A Reinsurance and Investment Game between Two Insurers under the CEV Model. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1195332
Modern Language Association (MLA)
Zhang, Gongliang…[et al.]. A Reinsurance and Investment Game between Two Insurers under the CEV Model. Mathematical Problems in Engineering No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1195332
American Medical Association (AMA)
Zhang, Gongliang& Cheng, Shuo& Li, Ziye& Cao, Ming. A Reinsurance and Investment Game between Two Insurers under the CEV Model. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1195332
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195332