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: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
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2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/83369 http://hdl.handle.net/10220/41181 |
| _version_ | 1811677414679379968 |
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| author | Pun, Chi Seng Siu, Chi Chung Wong, Hoi Ying |
| author2 | School of Physical and Mathematical Sciences |
| author_facet | School of Physical and Mathematical Sciences Pun, Chi Seng Siu, Chi Chung Wong, Hoi Ying |
| author_sort | Pun, Chi Seng |
| collection | NTU |
| description | 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 reinsurance strategies admit closed-form solutions. Our results indicate that the ambiguous correlation leads to an increase in the equilibrium demand of reinsurance protection for both insurers. Numerical studies examine the effect on the quality of the correlation estimations. |
| first_indexed | 2024-10-01T02:36:59Z |
| format | Journal Article |
| id | ntu-10356/83369 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:36:59Z |
| publishDate | 2016 |
| record_format | dspace |
| spelling | ntu-10356/833692023-02-28T19:32:45Z Non-zero-sum reinsurance games subject to ambiguous correlations Pun, Chi Seng Siu, Chi Chung Wong, Hoi Ying School of Physical and Mathematical Sciences Non-zero-sum stochastic differential game Reinsurance 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 reinsurance strategies admit closed-form solutions. Our results indicate that the ambiguous correlation leads to an increase in the equilibrium demand of reinsurance protection for both insurers. Numerical studies examine the effect on the quality of the correlation estimations. Accepted version 2016-08-26T08:05:28Z 2019-12-06T15:20:57Z 2016-08-26T08:05:28Z 2019-12-06T15:20:57Z 2016 Journal Article Pun, C. S., Siu, C. C., & Wong, H. Y. (2016). Non-zero-sum reinsurance games subject to ambiguous correlations. Operations Research Letters, 44(5), 578-586. 0167-6377 https://hdl.handle.net/10356/83369 http://hdl.handle.net/10220/41181 10.1016/j.orl.2016.06.004 en Operations Research Letters © 2016 Elsevier B.V. This is the author created version of a work that has been peer reviewed and accepted for publication by Operations Research Letters, Elsevier B.V. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org.ezlibproxy1.ntu.edu.sg/10.1016/j.orl.2016.06.004]. 20 p. application/pdf |
| spellingShingle | Non-zero-sum stochastic differential game Reinsurance Pun, Chi Seng Siu, Chi Chung Wong, Hoi Ying Non-zero-sum reinsurance games subject to ambiguous correlations |
| title | Non-zero-sum reinsurance games subject to ambiguous correlations |
| title_full | Non-zero-sum reinsurance games subject to ambiguous correlations |
| title_fullStr | Non-zero-sum reinsurance games subject to ambiguous correlations |
| title_full_unstemmed | Non-zero-sum reinsurance games subject to ambiguous correlations |
| title_short | Non-zero-sum reinsurance games subject to ambiguous correlations |
| title_sort | non zero sum reinsurance games subject to ambiguous correlations |
| topic | Non-zero-sum stochastic differential game Reinsurance |
| url | https://hdl.handle.net/10356/83369 http://hdl.handle.net/10220/41181 |
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