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

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<title>Stochastic differential games between two insurers with generalized mean-variance premium principle</title>
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<namePart>Yang, Hailiang</namePart>
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<namePart>Zeng, Yan</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Shumin Chen, Hailiang Yang, Yan Zeng</note>
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<topic>Modelo estocástico</topic>
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<topic>Modelos actuariales</topic>
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<topic>Modelos matemáticos</topic>
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<topic>Procesos estocásticos</topic>
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<topic>Reaseguro</topic>
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<topic>Matemática del seguro</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 413-434</text>
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