Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

被引：10

作者：

Bui, Trang ^{[1
]}

Cheng, Xiang ^{[2
]}

Jin, Zhuo ^{[2
]}

Yin, George ^{[1
]}

机构：

[1] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

[2] Univ Melbourne, Ctr Actuarial Studies, Dept Econ, Melbourne, Vic 3010, Australia

来源：

NONLINEAR ANALYSIS-HYBRID SYSTEMS | 2019年 / 32卷

关键词：

Stochastic control; Non-zero-sum game; Investment; Reinsurance; Regime switching; 2 INSURANCE COMPANIES; STRATEGIES; POLICIES;

D O I：

10.1016/j.nahs.2019.01.002

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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. (C) 2019 Elsevier Ltd. All rights reserved.

引用

页码：276 / 293

页数：18

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