A reinsurance and investment game between two insurance companies with the different opinions about some extra information

Ming Yan, Fanyi Peng and Shuhua Zhang

Insurance: Mathematics and Economics, 2017, vol. 75, issue C, 58-70

Abstract: The work studies a reinsurance and investment game between two insurance companies which have different opinions about some extra information. We assume that the goal of each insurance company is to maximize its utility of the difference between its terminal surplus and that of its competitor at the terminal time T. Moreover, at the beginning of the game, two insurance companies acquire some information about the future realization of the claims process. However, they treat with it differently, since one company trusts it while its competitor does not. Our focus is to study how the companies are affected by this information. By utilizing the dynamic programming principle and the enlargement of filtration techniques, the existence of the Nash equilibrium solutions can be verified. For the exponential utility, we derive three kinds of the candidate forms for the equilibrium strategies in the special situations and also provide the numerical method for the general situation. Some numerical examples are presented to illustrate how the reinsurance strategies change when the information level and other parameters vary.

Keywords: Non-zero-sum stochastic differential game; Enlargement of filtration; Hamilton–Jacobi–Bellman equations; Relative performance; Nash equilibrium (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668716301287
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:75:y:2017:i:c:p:58-70

DOI: 10.1016/j.insmatheco.2017.04.002

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().