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Title: Non-zero-sum reinsurance games subject to ambiguous correlations
Authors: Pun, Chi Seng
Siu, Chi Chung
Wong, Hoi Ying
Keywords: Non-zero-sum stochastic differential game
Issue Date: 2016
Source: Pun, C. S., Siu, C. C., & Wong, H. Y. (2016). Non-zero-sum reinsurance games subject to ambiguous correlations. Operations Research Letters, 44(5), 578-586.
Series/Report no.: Operations Research Letters
Abstract: This paper studies the economic implications of ambiguous correlation in a non-zero-sum game between two insurers. We establish the general framework of Nash equilibrium for the coupled optimization problems. For the constant absolute risk aversion (CARA) insurers, we show that the equilibrium reinsurance strategies admit closed-form solutions. Our results indicate that the ambiguous correlation leads to an increase in the equilibrium demand of reinsurance protection for both insurers. Numerical studies examine the effect on the quality of the correlation estimations.
ISSN: 0167-6377
DOI: 10.1016/j.orl.2016.06.004
Schools: School of Physical and Mathematical Sciences 
Rights: © 2016 Elsevier B.V. This is the author created version of a work that has been peer reviewed and accepted for publication by Operations Research Letters, Elsevier B.V. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [].
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Journal Articles

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