Stochastic differential game formulation on the reinsurance and investment problem

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Affiliation of Author(s):School of Sciences

Journal:INTERNATIONAL JOURNAL OF CONTROL

Place of Publication:ENGLAND

Key Words:stochastic differential game; stochastic control; reinsurance and investment; Nash equilibrium strat

Abstract:This paper focuses on a stochastic differential game between two insurance companies, a big one and a small one. The big company has sufficient asset to invest in a risk-free asset and a risky asset and is allowed to purchase proportional reinsurance or acquire new business, and the small company can transfer part of the risk to a reinsurer via proportional reinsurance. The game studied here is zero-sum, where the big company is trying to maximise the expected exponential utility of the difference between two insurance companies' surpluses at the terminal time to keep its advantage on surplus.

All the Authors:Li Danping, Rong Ximin, Zhao Hui

First Author:Li Danping

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI:CN1ES

Volume:88

Issue:9

Page Number:1861-1877

ISSN No.:0020-7179

Translation or Not:no