Journal article

Reinsurance-investment game between two mean-variance insurers under model uncertainty

Ning Wang, Nan Zhang, Zhuo Jin, Linyi Qian

Journal of Computational and Applied Mathematics | ELSEVIER | Published : 2021

Abstract

This paper investigates a class of robust non-zero-sum reinsurance–investment stochastic differential games between two competing insurers under the time-consistent mean–variance criterion. We allow each insurer to purchase a proportional reinsurance treaty and invest his surplus into a financial market consisting of one risk-free asset and one risky asset to manage his insurance risk. The surplus processes of both insurers are governed by the classical Cramér–Lundberg model and each insurer is an ambiguity-averse insurer (AAI) who concerns about model uncertainty. The objective of each insurer is to maximize the expected terminal surplus relative to that of his competitor and minimize the v..

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University of Melbourne Researchers

Grants

Awarded by National Social Science Foundation Key Program


Awarded by National Natural Science Foundation of China


Awarded by State Key Program of National Natural Science Foundation of China


Awarded by 111 Project, China


Awarded by Research Grants Council of the Hong Kong Special Administrative Region, China


Funding Acknowledgements

We would like to thank two anonymous referees for their constructive comments and suggestions that resulted in an improved version. This work was supported in part by the National Social Science Foundation Key Program (17ZDA091), National Natural Science Foundation of China (11901201, 11771147, 11971172, 11871220), the State Key Program of National Natural Science Foundation of China (71931004), the 111 Project, China (B14019), Research Grants Council of the Hong Kong Special Administrative Region, China (HKU 17330816) and Faculty Research Grant of The University of Melbourne, Australia.