Stochastic differential games between two insurers with generalized mean-variance premium principle
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180005770 | ||
| 003 | MAP | ||
| 005 | 20180320114713.0 | ||
| 008 | 180226e20180101bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20180002014$aChen, Shumin | ||
| 245 | 1 | 0 | $aStochastic differential games between two insurers with generalized mean-variance premium principle$cShumin Chen, Hailiang Yang, Yan Zeng |
| 520 | $aWe study a stochastic differential game problem between two insurers, who invest in a financial market and adopt reinsurance to manage their claim risks. Supposing that their reinsurance premium rates are calculated according to the generalized mean-variance principle, we consider the competition between the two insurers as a non-zero sum stochastic differential game. Using dynamic programming technique, we derive a system of coupled Hamilton JacobiBellman equations and show the existence of equilibrium strategies. For an exponential utility maximizing game and a probability maximizing game, we obtain semiexplicit solutions for the equilibrium strategies and the equilibrium value functions, respectively. Finally,we provide some detailed comparative-static analyses on the equilibrium strategies and illustrate some economic insights. | ||
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20080603120$aProcesos estocásticos | |
| 650 | 4 | $0MAPA20080552367$aReaseguro | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 700 | 1 | $0MAPA20080653507$aYang, Hailiang | |
| 700 | 1 | $0MAPA20130010458$aZeng, Yan | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 413-434 |