Optimal non-proportional reinsurance control and stochastic differential games
We study stochastic differential games between two insurance companies who employ reinsurance to reduce risk exposure. We consider competition between two companies and construct a single payoff function of two companies' surplus processes. One company chooses a dynamic reinsurance strategy in order to maximize the payoff function while its opponent is simultaneously choosing a dynamic reinsurance strategy so as to minimize the same quantity. We describe the Nash equilibrium of the game and prove a verification theorem for a general payoff function. For the payoff function being the probability that the difference between two surplus reaches an upper bound before it reaches a lower bound, the game is solved explicitly.
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- Suijs, J.P.M. & De Waegenaere, A.M.B. & Borm, P.E.M., 1996.
"Stochastic Cooperative Games in Insurance and Reinsurance,"
1996-53, Tilburg University, Center for Economic Research.
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- Zeng, Xudong, 2010. "Optimal reinsurance with a rescuing procedure," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 397-405, April.
- Suijs, Jeroen & De Waegenaere, Anja & Borm, Peter, 1998. "Stochastic cooperative games in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 209-228, July.
- repec:spr:compst:v:51:y:2000:i:1:p:1-42 is not listed on IDEAS
- Hipp, Christian & Taksar, Michael, 2010. "Optimal non-proportional reinsurance control," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 246-254, October. Full references (including those not matched with items on IDEAS)