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Time-consistent investment and reinsurance strategies for mean-variance insurers in N-Agent and mean-field games
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MAP20230012482
Guan, Guohui ‌
Time-consistent investment and reinsurance strategies for mean-variance insurers in N-Agent and mean-field games / Guohui Guan & Xiang Hu
Sumario: In this study, we investigate the competition among insurers under the meanvariance criterion. The optimization problems are formulated for finite and infinite insurers. The surplus processes of the insurers are characterized by jump-diffusion processes with common and idiosyncratic insurance risks. The insurers can purchase a reinsurance business to divide the insurance risk. In the financial market, the insurers decide the proportion of their fund to be retained as cash and to be invested in a stock characterized by a jump-diffusion process with common and idiosyncratic financial risks. The insurers compete with each other and are concerned with the relative performance
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/12/2022 Tomo 26 Número 4 - 2022 , p. 537-569
1. Mercado de seguros ‌. 2. Reaseguro ‌. 3. Cálculo actuarial ‌. 4. Gerencia de riesgos ‌. I. Hu, Xiang ‌. II. Title.