MEAN FIELD AND N-INSURERS GAMES FOR ROBUST OPTIMAL REINSURANCE-INVESTMENT IN CORRELATED MARKETS

被引：2

作者：

He, Yong ^{[1
]}

He, Lin ^{[2
]}

Chen, Dengsheng ^{[3
]}

Liu, Zhezhi ^{[4
]}

机构：

[1] Chongqing Univ Sci & Technol, Sch Math Phys & Data Sci, Chongqing 401331, Peoples R China

[2] Harbin Univ Sci & Technol, Sch Elect & Elect Engn, Harbin 150086, Peoples R China

[3] Anhui Univ, Finance & Econ, Sch Finance, Bengbu 233030, Peoples R China

[4] Chongqing Univ Sci & Technol, Sch Petr Engn, Chongqing 401331, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 09期

基金：

中国博士后科学基金;

关键词：

Reinsurance-investment strategy; n-insurers game; mean field games; models uncertainty; correlated markets; STOCHASTIC DIFFERENTIAL INVESTMENT; 2 INSURANCE COMPANIES; RISK; PROBABILITY; GROWTH; RUIN;

D O I：

10.3934/jimo.2022240

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The paper investigates a family of robust reinsurance-investment strategies under relative performance criteria for the insurers who have exponential utility and trade in a common reinsurance-investment horizon in lognormal markets. Assume that two correlated Brownian motions used to characterize the insurance surplus risk and stock price risk. By applying stochastic control theories, we derive the closed-form solutions for the n-players game and the corresponding mean field game, furthermore the equilibria strategies are shown to be unique in the class of constant equilibria. Finally, we present the influence of model parameters on reinsurance and investment strategies with economic explanations by some numerical figures.

引用

页码：6806 / 6825

页数：20

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