### Abstract

Language | English |
---|---|

Pages | 115-132 |

Number of pages | 18 |

Journal | Insurance: Mathematics and Economics |

Volume | 84 |

DOIs | |

Publication status | Published - Jan 2019 |

### Fingerprint

### Keywords

- Non-zero-sum stochastic differential game
- Relative performance
- Nash equilibrium
- Model ambiguity
- Default risk

### Cite this

*Insurance: Mathematics and Economics*,

*84*, 115-132. https://doi.org/10.1016/j.insmatheco.2018.09.009

}

*Insurance: Mathematics and Economics*, vol. 84, pp. 115-132. https://doi.org/10.1016/j.insmatheco.2018.09.009

**Robust non-zero-sum investment and reinsurance game with default risk.** / Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi.

Research output: Contribution to journal › Article › Research › peer-review

TY - JOUR

T1 - Robust non-zero-sum investment and reinsurance game with default risk

AU - Wang, Ning

AU - Zhang, Nan

AU - Jin, Zhuo

AU - Qian, Linyi

PY - 2019/1

Y1 - 2019/1

N2 - This paper investigates a non-zero-sum stochastic differential game between two competitive CARA insurers, who are concerned about the potential model ambiguity and aim to seek the robust optimal reinsurance and investment strategies. The ambiguity-averse insurers are allowed to purchase reinsurance treaty to mitigate individual claim risks; and can invest in a financial market consisting of one risk-free asset, one risky asset and one defaultable corporate bond. The objective of each insurer is to maximize the expected exponential utility of his terminal surplus relative to that of his competitor under the worst-case scenario of the alternative measures. Applying the techniques of stochastic dynamic programming, we derive the robust Nash equilibrium reinsurance and investment policies explicitly and present the corresponding verification theorem. Finally, we perform some numerical examples to illustrate the influence of model parameters on the equilibrium reinsurance and investment strategies and draw some economic interpretations from these results.

AB - This paper investigates a non-zero-sum stochastic differential game between two competitive CARA insurers, who are concerned about the potential model ambiguity and aim to seek the robust optimal reinsurance and investment strategies. The ambiguity-averse insurers are allowed to purchase reinsurance treaty to mitigate individual claim risks; and can invest in a financial market consisting of one risk-free asset, one risky asset and one defaultable corporate bond. The objective of each insurer is to maximize the expected exponential utility of his terminal surplus relative to that of his competitor under the worst-case scenario of the alternative measures. Applying the techniques of stochastic dynamic programming, we derive the robust Nash equilibrium reinsurance and investment policies explicitly and present the corresponding verification theorem. Finally, we perform some numerical examples to illustrate the influence of model parameters on the equilibrium reinsurance and investment strategies and draw some economic interpretations from these results.

KW - Non-zero-sum stochastic differential game

KW - Relative performance

KW - Nash equilibrium

KW - Model ambiguity

KW - Default risk

UR - http://www.scopus.com/inward/record.url?scp=85055503044&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2018.09.009

DO - 10.1016/j.insmatheco.2018.09.009

M3 - Article

VL - 84

SP - 115

EP - 132

JO - Insurance: Mathematics and Economics

T2 - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 1873-5959

ER -