Stochastic differential games between two insurers with generalized mean-variance premium principle

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<dc:creator>Chen, Shumin</dc:creator>
<dc:creator>Yang, Hailiang</dc:creator>
<dc:creator>Zeng, Yan</dc:creator>
<dc:date>2018-01-01</dc:date>
<dc:description xml:lang="es">Sumario: We 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/163496.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Procesos estocásticos</dc:subject>
<dc:subject xml:lang="es">Reaseguro</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Stochastic differential games between two insurers with generalized mean-variance premium principle</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 413-434</dc:relation>
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