Non-zero-sum reinsurance games subject to ambiguous correlations
This paper studies the economic implications of ambiguous correlation in a non-zero-sum game between two insurers. We establish the general framework of Nash equilibrium for the coupled optimization problems. For the constant absolute risk aversion (CARA) insurers, we show that the equilibrium reins...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2016
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/83369 http://hdl.handle.net/10220/41181 |