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A reinsurance and investment game between two insurance companies with the different opinions about some extra information

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  • Yan, Ming
  • Peng, Fanyi
  • Zhang, Shuhua

Abstract

The work studies a reinsurance and investment game between two insurance companies which have different opinions about some extra information. We assume that the goal of each insurance company is to maximize its utility of the difference between its terminal surplus and that of its competitor at the terminal time T. Moreover, at the beginning of the game, two insurance companies acquire some information about the future realization of the claims process. However, they treat with it differently, since one company trusts it while its competitor does not. Our focus is to study how the companies are affected by this information. By utilizing the dynamic programming principle and the enlargement of filtration techniques, the existence of the Nash equilibrium solutions can be verified. For the exponential utility, we derive three kinds of the candidate forms for the equilibrium strategies in the special situations and also provide the numerical method for the general situation. Some numerical examples are presented to illustrate how the reinsurance strategies change when the information level and other parameters vary.

Suggested Citation

  • Yan, Ming & Peng, Fanyi & Zhang, Shuhua, 2017. "A reinsurance and investment game between two insurance companies with the different opinions about some extra information," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 58-70.
    • Handle: RePEc:eee:insuma:v:75:y:2017:i:c:p:58-70
    DOI: 10.1016/j.insmatheco.2017.04.002
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    References listed on IDEAS

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    Cited by:

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    2. Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong, 2019. "A hybrid stochastic differential reinsurance and investment game with bounded memory," Papers 1910.09834, arXiv.org.
    3. Asmussen, Søren & Christensen, Bent Jesper & Thøgersen, Julie, 2019. "Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 92-100.
    4. Bai, Yanfei & Zhou, Zhongbao & Xiao, Helu & Gao, Rui & Zhong, Feimin, 2022. "A hybrid stochastic differential reinsurance and investment game with bounded memory," European Journal of Operational Research, Elsevier, vol. 296(2), pages 717-737.
    5. Zhu, Huainian & Cao, Ming & Zhang, Chengke, 2019. "Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model," Finance Research Letters, Elsevier, vol. 30(C), pages 280-291.
    6. Peng, Xingchun & Chen, Fenge & Wang, Wenyuan, 2021. "Robust optimal investment and reinsurance for an insurer with inside information," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 15-30.
    7. Søren Asmussen & Bent Jesper Christensen & Julie Thøgersen, 2019. "Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation," Risks, MDPI, vol. 7(2), pages 1-23, May.

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