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Optimal reinsurance in a competitive market

Author

Listed:
  • Lea Enzi

    (Graz University of Technology)

  • Stefan Thonhauser

    (Graz University of Technology)

Abstract

We study a stochastic differential game in an insurance context. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it, while the other seeks to minimize it. As a modeling basis we use classical surplus processes extended by dynamic reinsurance opportunities, which allows us to use techniques from the theory of piecewise deterministic Markov processes to analyze the resulting game. In this context, we show that a dynamic programming principle for the upper and lower value of the game holds true and that these values are unique viscosity solutions to the associated Bellman-Isaacs equations. Finally, we provide some numerical illustrations.

Suggested Citation

  • Lea Enzi & Stefan Thonhauser, 2025. "Optimal reinsurance in a competitive market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 102(1), pages 131-161, August.
    • Handle: RePEc:spr:mathme:v:102:y:2025:i:1:d:10.1007_s00186-025-00903-5
    DOI: 10.1007/s00186-025-00903-5
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