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

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      <subfield code="a">Chen, Shumin</subfield>
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      <subfield code="a">Stochastic differential games between two insurers with generalized mean-variance premium principle</subfield>
      <subfield code="c">Shumin Chen, Hailiang Yang, Yan Zeng</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="g">01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 413-434</subfield>
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