Non-zero-sum reinsurance games subject to ambiguous correlations

• المؤلفون الرئيسيون: Pun, Chi Seng, Siu, Chi Chung, Wong, Hoi Ying
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2016
• الموضوعات: Non-zero-sum stochastic differential game; Reinsurance
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/83369; http://hdl.handle.net/10220/41181

This paper studies the economic implications of ambiguous correlation in a non-zero-sum game between two insurers. We establish the general framework of Nash equilibrium for the coupled optimization problems. For the constant absolute risk aversion (CARA) insurers, we show that the equilibrium reins...