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Proof of Theorem 3.1

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Název: Proof of Theorem 3.1
Autoři: Qian Zhang, Guoyong Zhou, Jing Fu
Rok vydání: 2025
Témata: 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
Popis: 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.
Druh dokumentu: article in journal/newspaper
Jazyk: unknown
Relation: https://figshare.com/articles/journal_contribution/Proof_of_Theorem_3_1/29427743
DOI: 10.1371/journal.pone.0326125.s001
Dostupnost: https://doi.org/10.1371/journal.pone.0326125.s001
https://figshare.com/articles/journal_contribution/Proof_of_Theorem_3_1/29427743
Rights: CC BY 4.0
Přístupové číslo: edsbas.D2E8BD68
Databáze: BASE
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  Data: Proof of Theorem 3.1
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– Name: Abstract
  Label: Description
  Group: Ab
  Data: 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.
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  Data: https://figshare.com/articles/journal_contribution/Proof_of_Theorem_3_1/29427743
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  Group: ID
  Data: 10.1371/journal.pone.0326125.s001
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  Data: https://doi.org/10.1371/journal.pone.0326125.s001&lt;br /&gt;https://figshare.com/articles/journal_contribution/Proof_of_Theorem_3_1/29427743
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      – Type: doi
        Value: 10.1371/journal.pone.0326125.s001
    Languages:
      – Text: unknown
    Subjects:
      – SubjectFull: Ecology
        Type: general
      – SubjectFull: Sociology
        Type: general
      – SubjectFull: Science Policy
        Type: general
      – SubjectFull: Environmental Sciences not elsewhere classified
        Type: general
      – SubjectFull: Biological Sciences not elsewhere classified
        Type: general
      – SubjectFull: several numerical examples
        Type: general
      – SubjectFull: robust equilibrium reinsurance
        Type: general
      – SubjectFull: relative performance compared
        Type: general
      – SubjectFull: purchase proportional reinsurance
        Type: general
      – SubjectFull: financial market consisting
        Type: general
      – SubjectFull: div >< p
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      – SubjectFull: >&# 945
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      – SubjectFull: one risky asset
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      – SubjectFull: two competitive insurers
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      – SubjectFull: one risk
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      – SubjectFull: free asset
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      – SubjectFull: variance utility
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      – SubjectFull: paper examines
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      – SubjectFull: model parameters
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      – SubjectFull: maximin mean
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      – SubjectFull: investment strategies
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      – SubjectFull: investment game
        Type: general
      – SubjectFull: insurers aim
        Type: general
      – SubjectFull: extended hamilton
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      – TitleFull: Proof of Theorem 3.1
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            NameFull: Qian Zhang
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            NameFull: Guoyong Zhou
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            NameFull: Jing Fu
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            – D: 01
              M: 01
              Type: published
              Y: 2025
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