Non-zero-sum reinsurance games subject to ambiguous correlations

• 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
• Institution: 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 reins...