A reinsurance and investment game between two insurers under the CEV model
type: Item
instance of: scholarly article
title: A reinsurance and investment game between two insurers under the CEV model
zbMATH Open document ID: 1459.91168
DOI: 10.1155/2020/4696941
author: Gongliang Zhang
author: Shuo Cheng
author: Ming Cao
author: Zi-Ye Li
published in: Mathematical Problems in Engineering
publication date: 2020-10-12T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91A80
Mathematics Subject Classification ID: 91A23
zbMATH DE Number: 7259612
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/4696941
OpenAlex ID: W3080288118
cites work: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
cites work: Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
cites work: Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
cites work: Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
cites work: On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
cites work: Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
cites work: A class of non-zero-sum stochastic differential investment and reinsurance games
cites work: Non-zero-sum stochastic differential reinsurance and investment games with default risk
cites work: STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
cites work: Time-consistent investment and reinsurance under relative performance concerns
cites work: Loss models. From data to decisions
cites work: Optimal portfolios for DC pension plans under a CEV model
cites work: Continuous-time stochastic control and optimization with financial applications
cites work: A class of nonzero-sum investment and reinsurance games subject to systematic risks
description: scientific article; zbMATH DE number 7259612