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Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process.
- Source :
-
Communications in Statistics: Theory & Methods . 2024, Vol. 53 Issue 12, p4469-4486. 18p. - Publication Year :
- 2024
-
Abstract
- We investigate a robust equilibrium investment-reinsurance problem for n ambiguity-averse competitive insurers, n ≥ 2 . Each insurer is allowed to purchase proportional reinsurance and invest in a risk-free asset and a risky asset. Each insurer aims to maximize the expected utility of a weighted relative terminal wealth with respect to the other competitors. In this article, the risky asset is assumed to follow a general and flexible model: the square root factor process. Following the game theory approach, we derive the closed solutions of the robust equilibrium investment-reinsurance strategies. Moreover, the verification theorem is provided in this article. Finally, we demonstrate some numerical analyses and give the economic explanations as well. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 53
- Issue :
- 12
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 177117396
- Full Text :
- https://doi.org/10.1080/03610926.2023.2184185