A reinsurance game between two insurance companies with nonlinear risk processes

DOI10.1016/j.insmatheco.2015.03.008zbMath1318.91120OpenAlexW1992058911MaRDI QIDQ2347061

Shuanming Li, Zhuo Jin, Hui Meng

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.008

zbMATH Keywords

Nash equilibriumstochastic differential gameexponential utilityrelative performancenonlinear risk process

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15)

Related Items (26)

A reinsurance and investment game between two insurance companies with the different opinions about some extra information ⋮ ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER ⋮ Optimal investment problem between two insurers with value-added service ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market ⋮ The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies ⋮ Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process ⋮ Stochastic differential reinsurance and investment games with delay under VaR constraints⋆ ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ A Stackelberg reinsurance-investment game under Heston's stochastic volatility model ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Robust reinsurance contracts with risk constraint ⋮ Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE ⋮ Stochastic differential reinsurance games with capital injections ⋮ Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information ⋮ A stochastic Nash equilibrium portfolio game between two DC pension funds ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

Cites Work

• Unnamed Item
• A class of non-zero-sum stochastic differential investment and reinsurance games
• Benchmark and mean-variance problems for insurers
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
• Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
• Optimal non-proportional reinsurance control and stochastic differential games
• Optimal reinsurance with positively dependent risks
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal dividends with debts and nonlinear insurance risk processes
• Optimal risk transfer under quantile-based risk measurers
• A constrained non-linear regular-singular stochastic control problem, with applications.
• Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
• Some risk management problems for firms with internal competition and debt
• Optimal Reinsurance Revisited – A Geometric Approach
• A stochastic differential reinsurance game
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

This page was built for publication: A reinsurance game between two insurance companies with nonlinear risk processes