Non-zero-sum reinsurance games subject to ambiguous correlations

Non-zero-sum reinsurance games subject to ambiguous correlations

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...

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Main Authors: Pun, Chi Seng, Siu, Chi Chung, Wong, Hoi Ying
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2016
Subjects:
Non-zero-sum stochastic differential game
Reinsurance
Online Access:https://hdl.handle.net/10356/83369
http://hdl.handle.net/10220/41181
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-833692023-02-28T19:32:45Z Non-zero-sum reinsurance games subject to ambiguous correlations Pun, Chi Seng Siu, Chi Chung Wong, Hoi Ying School of Physical and Mathematical Sciences Non-zero-sum stochastic differential game Reinsurance 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. Accepted version 2016-08-26T08:05:28Z 2019-12-06T15:20:57Z 2016-08-26T08:05:28Z 2019-12-06T15:20:57Z 2016 Journal Article Pun, C. S., Siu, C. C., & Wong, H. Y. (2016). Non-zero-sum reinsurance games subject to ambiguous correlations. Operations Research Letters, 44(5), 578-586. 0167-6377 https://hdl.handle.net/10356/83369 http://hdl.handle.net/10220/41181 10.1016/j.orl.2016.06.004 en Operations Research Letters © 2016 Elsevier B.V. This is the author created version of a work that has been peer reviewed and accepted for publication by Operations Research Letters, Elsevier B.V. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org.ezlibproxy1.ntu.edu.sg/10.1016/j.orl.2016.06.004]. 20 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Non-zero-sum stochastic differential game
Reinsurance
spellingShingle Non-zero-sum stochastic differential game
Reinsurance
Pun, Chi Seng
Siu, Chi Chung
Wong, Hoi Ying
Non-zero-sum reinsurance games subject to ambiguous correlations
description 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.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Pun, Chi Seng
Siu, Chi Chung
Wong, Hoi Ying
format Article
author Pun, Chi Seng
Siu, Chi Chung
Wong, Hoi Ying
author_sort Pun, Chi Seng
title Non-zero-sum reinsurance games subject to ambiguous correlations
title_short Non-zero-sum reinsurance games subject to ambiguous correlations
title_full Non-zero-sum reinsurance games subject to ambiguous correlations
title_fullStr Non-zero-sum reinsurance games subject to ambiguous correlations
title_full_unstemmed Non-zero-sum reinsurance games subject to ambiguous correlations
title_sort non-zero-sum reinsurance games subject to ambiguous correlations
publishDate 2016
url https://hdl.handle.net/10356/83369
http://hdl.handle.net/10220/41181
_version_ 1759853184172425216

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