The investment and reinsurance game of insurers and reinsurers with default risk under CEV model

IF 1.8 4区管理学 Q3 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Rairo-Operations Research Pub Date : 2023-07-31 DOI:10.1051/ro/2023112

Wenjing Hao, Zhijian Qiu, Lu Li

引用次数: 0

Abstract

On the premise of considering the interests of insurance companies and reinsurance companies at the same time, this paper studies the investment and reinsurance game between them. Suppose that the compensation process faced by an insurance company is described by Brownian motion with drift. Insurance companies can purchase proportional reinsurance from reinsurance companies, and both companies can invest in a risk-free asset, a risky asset whose price process follows the constant elasticity of variance (CEV) model, and a defaultable bond. With the goal of maximizing the expected utility of weighted terminal wealth, the corresponding Hamilton-Jacobi-Bellman (HJB) equations are established and solved by using the principle of dynamic programming, and the analytical expressions of the equilibrium investment-reinsurance strategies of insurers and reinsurers are derived respectively. Finally, the influence of each model parameter on the equilibrium strategy is analyzed by numerical examples.

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CEV模型下具有违约风险的保险人与再保险人的投资与再保险博弈

本文在同时考虑保险公司和再保险公司利益的前提下，对保险公司和再保险公司之间的投资和再保险博弈进行了研究。假设保险公司面临的赔偿过程用带漂移的布朗运动来描述。保险公司可以从再保险公司购买比例再保险，两家公司可以投资无风险资产、价格过程遵循恒定弹性方差(CEV)模型的风险资产和违约债券。以加权终端财富期望效用最大化为目标，利用动态规划原理建立并求解了相应的Hamilton-Jacobi-Bellman (HJB)方程，分别导出了保险公司和再保险公司均衡投资-再保险策略的解析表达式。最后，通过数值算例分析了各模型参数对平衡策略的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Rairo-Operations Research 管理科学-运筹学与管理科学

CiteScore

3.60

自引率

22.20%

发文量

206

审稿时长

>12 weeks

期刊介绍： RAIRO-Operations Research is an international journal devoted to high-level pure and applied research on all aspects of operations research. All papers published in RAIRO-Operations Research are critically refereed according to international standards. Any paper will either be accepted (possibly with minor revisions) either submitted to another evaluation (after a major revision) or rejected. Every effort will be made by the Editorial Board to ensure a first answer concerning a submitted paper within three months, and a final decision in a period of time not exceeding six months.