Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process

Xiaoyu Xing and Xiaofang Li

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 12, 4469-4486

Abstract: We investigate a robust equilibrium investment-reinsurance problem for n ambiguity-averse competitive insurers, n≥2. Each insurer is allowed to purchase proportional reinsurance and invest in a risk-free asset and a risky asset. Each insurer aims to maximize the expected utility of a weighted relative terminal wealth with respect to the other competitors. In this article, the risky asset is assumed to follow a general and flexible model: the square root factor process. Following the game theory approach, we derive the closed solutions of the robust equilibrium investment-reinsurance strategies. Moreover, the verification theorem is provided in this article. Finally, we demonstrate some numerical analyses and give the economic explanations as well.

Date: 2024
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DOI: 10.1080/03610926.2023.2184185

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