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
• المؤسسة: Nanyang Technological University

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 reinsurance strategies admit closed-form solutions. Our results indicate that the ambiguous correlation leads to an increase in the equilibrium demand of reinsurance protection for both insurers. Numerical studies examine the effect on the quality of the correlation estimations.