Optimal reinsurance in a competitive market

Lea Enzi () and Stefan Thonhauser ()
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Lea Enzi: Graz University of Technology
Stefan Thonhauser: Graz University of Technology

Mathematical Methods of Operations Research, 2025, vol. 102, issue 1, No 5, 161 pages

Abstract: Abstract We study a stochastic differential game in an insurance context. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it, while the other seeks to minimize it. As a modeling basis we use classical surplus processes extended by dynamic reinsurance opportunities, which allows us to use techniques from the theory of piecewise deterministic Markov processes to analyze the resulting game. In this context, we show that a dynamic programming principle for the upper and lower value of the game holds true and that these values are unique viscosity solutions to the associated Bellman-Isaacs equations. Finally, we provide some numerical illustrations.

Keywords: Stochastic differential games; Optimal reinsurance; Piecewise deterministic Markov process; 91A15; 91G05; 91G80; 60J76 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00186-025-00903-5

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