Values of basic parameters.
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| Titel: | Values of basic parameters. |
|---|---|
| Autoren: | Qian Zhang, Guoyong Zhou, Jing Fu |
| Publikationsjahr: | 2025 |
| Schlagwörter: | Ecology, Sociology, Science Policy, Environmental Sciences not elsewhere classified, Biological Sciences not elsewhere classified, several numerical examples, robust equilibrium reinsurance, relative performance compared, purchase proportional reinsurance, financial market consisting, div >< p, >&# 945, <, one risky asset, two competitive insurers, one risk, free asset, variance utility, variance criterion, terminal surplus, paper examines, model parameters, maximin mean, investment strategies, investment game, insurers aim, extended hamilton |
| Beschreibung: | This paper examines a non-zero-sum stochastic differential reinsurance-investment game between two competitive insurers under the -maximin mean-variance criterion. Both insurers can purchase proportional reinsurance and invest in a financial market consisting of one risk-free asset and one risky asset, and each insurer is concerned with its terminal surplus and relative performance compared to its competitor. The insurers aim to maximize the -maximin mean-variance utility, which allows them to exhibit different attitudes towards model ambiguity. By solving the extended Hamilton-Jacobi-Bellman (HJB) equations for both insurers, we derive the -robust equilibrium reinsurance and investment strategies. Finally, several numerical examples are provided to illustrate the impact of some model parameters on the equilibrium strategies. |
| Publikationsart: | article in journal/newspaper |
| Sprache: | unknown |
| Relation: | https://figshare.com/articles/journal_contribution/Values_of_basic_parameters_/29427746 |
| DOI: | 10.1371/journal.pone.0326125.s002 |
| Verfügbarkeit: | https://doi.org/10.1371/journal.pone.0326125.s002 https://figshare.com/articles/journal_contribution/Values_of_basic_parameters_/29427746 |
| Rights: | CC BY 4.0 |
| Dokumentencode: | edsbas.A6D21DBF |
| Datenbank: | BASE |
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