Robust non-zero-sum stochastic differential reinsurance game

• Main Authors: Pun, Chi Seng, Wong, Hoi Ying
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2016
• Subjects: Non-zero-sum stochastic differential game; Relative performance concerns; Reinsurance; Model uncertainty; Hamiltonian–Jacobi–Bellman–Isaacs equation; Nash equilibrium
• Online Access: https://hdl.handle.net/10356/81378; http://hdl.handle.net/10220/40727
• Institution: Nanyang Technological University

This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) who encounter model uncertainty and seek the optimal reinsurance decision under relative performance concerns. Each AAI manages her own risks by purchasing reinsurance with the obj...