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: | Pun, Chi Seng, Siu, Chi Chung, Wong, Hoi Ying |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Journal Article |
Language: | English |
Published: |
2016
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/83369 http://hdl.handle.net/10220/41181 |
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