Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump–diffusion models
T Bui, X Cheng, Z Jin, G Yin
Nonlinear Analysis: Hybrid Systems | Elsevier | Published : 2019
This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportional reinsurance and excess-of loss reinsurance policies are considered. We develop numerical algorithms to obtain the approximation to the Nash equilibrium by adopting the Markov chain approximation methodology. We establish the convergence of the approximation sequences and the approximation to the value functions. Numerical examples are presented to illustrate the applicability of the algorithms.
Awarded by Air Force Office of Scientific Research, USA
The research was supported in part by the Air Force Office of Scientific Research, USA under Grant FA9550-18-1-0268.