A stochastic differential reinsurance game
A stochastic differential reinsurance game
复制标题
DOI：
10.1239/jap/1276784895
复制
发表时间：
2010-06
影响因子：
1
通讯作者：
Xudong Zeng
中科院分区：
文献类型：
--
作者：
Xudong Zeng
We study a stochastic differential game between two insurance companies who employ reinsurance to reduce the risk of exposure. Under the assumption that the companies have large insurance portfolios compared to any individual claim size, their surplus processes can be approximated by stochastic differential equations. We formulate competition between the two companies as a game with a single payoff function which depends on the surplus processes. One company chooses a dynamic reinsurance strategy in order to maximize this expected payoff, while the other company simultaneously chooses a dynamic reinsurance strategy so as to minimize the same quantity. We describe the Nash equilibrium of this stochastic differential game and solve it explicitly for the case of maximizing/minimizing the exit probability.
