Robust non-zero-sum stochastic differential reinsurance game

Robust non-zero-sum stochastic differential reinsurance game

This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) who encounter model uncertainty and seek the optimal reinsurance decision under relative performance concerns. Each AAI manages her own risks by purchasing reinsurance with the obj...

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Bibliographic Details
Main Authors: Pun, Chi Seng, Wong, Hoi Ying
Other Authors: School of Physical and Mathematical Sciences
Format: Journal Article
Language:English
Published: 2016
Subjects:
Non-zero-sum stochastic differential game
Relative performance concerns
Reinsurance
Model uncertainty
Hamiltonian–Jacobi–Bellman–Isaacs equation
Nash equilibrium
Online Access:https://hdl.handle.net/10356/81378
http://hdl.handle.net/10220/40727

Internet

https://hdl.handle.net/10356/81378
http://hdl.handle.net/10220/40727

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