Non-zero-sum stochastic differential reinsurance and investment games with default risk

doi:10.1016/j.ejor.2017.06.065

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	Non-zero-sum stochastic differential reinsurance and investment games with default risk
	Deng, Chao 1,2; Zeng, Xudong 3; Zhu, Huiming 2
刊名	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
	2018-02
卷号	264 期号:3 页码:1144-1158
关键词	Decision analysis Game theory Default risk Reinsurance and investment Heston volatility model
ISSN号	0377-2217
DOI	10.1016/j.ejor.2017.06.065
英文摘要	This paper investigates the implications of strategic interaction (i.e., competition) between two CARA insurers on their reinsurance-investment policies. The two insurers are concerned about their terminal wealth and the relative performance measured by the difference in their terminal wealth. The problem of finding optimal policies for both insurers is modelled as a non-zero-sum stochastic differential game. The reinsurance premium is calculated using the variance premium principle and the insurers can invest in a risk-free asset, a risky asset with Heston's stochastic volatility and a defaultable corporate bond. We derive the Nash equilibrium reinsurance policy and investment policy explicitly for the game and prove the corresponding verification theorem. The equilibrium strategy indicates that the best response of each insurer to the competition is to mimic the strategy of its opponent. Consequently, either the reinsurance strategy or the investment strategy of an insurer with the relative performance concern is riskier than that without the concern. Numerical examples are provided to demonstrate the findings of this study. (C) 2017 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Operations Research & Management Science
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000414108300028
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/711]
专题	上海财经大学
通讯作者	Zhu, Huiming
作者单位	1.Guangdong Univ Foreign Studies, Sch Finance, Guangzhou 510006, Guangdong, Peoples R China; 2.Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China; 3.Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Deng, Chao,Zeng, Xudong,Zhu, Huiming. Non-zero-sum stochastic differential reinsurance and investment games with default risk[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2018,264(3):1144-1158.
APA	Deng, Chao,Zeng, Xudong,&Zhu, Huiming.(2018).Non-zero-sum stochastic differential reinsurance and investment games with default risk.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,264(3),1144-1158.
MLA	Deng, Chao,et al."Non-zero-sum stochastic differential reinsurance and investment games with default risk".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 264.3(2018):1144-1158.