Time-consistent investment and reinsurance strategies for mean-variance insurers in N-Agent and mean-field games

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<title>Time-consistent investment and reinsurance strategies for mean-variance insurers in N-Agent and mean-field games</title>
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<namePart>Guan, Guohui</namePart>
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<namePart>Hu, Xiang</namePart>
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<abstract displayLabel="Summary">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 </abstract>
<note type="statement of responsibility">Guohui Guan & Xiang Hu</note>
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<topic>Mercado de seguros</topic>
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<topic>Reaseguro</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Gerencia de riesgos</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>05/12/2022 Tomo 26 Número 4 - 2022 , p. 537-569</text>
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