Insurance Mathematics & Economics最新文献_第8页

Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash 再保险市场的合作竞争：当帕累托与Stackelberg和Nash相遇时

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-07-31 DOI: 10.1016/j.insmatheco.2025.103133

Jingyi Cao , Dongchen Li , Virginia R. Young , Bin Zou

{"title":"Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash","authors":"Jingyi Cao , Dongchen Li , Virginia R. Young , Bin Zou","doi":"10.1016/j.insmatheco.2025.103133","DOIUrl":"10.1016/j.insmatheco.2025.103133","url":null,"abstract":"<div><div>We develop and solve a two-layer game to model co-opetition, a strategic combination of competition and cooperation, in a reinsurance market consisting of one primary insurer and two reinsurers, in which all players are equipped with mean-variance preferences and the reinsurance contracts are priced under the variance premium principle. The insurer negotiates reinsurance contracts with the two reinsurers simultaneously, modeled by two Stackelberg games, and the two reinsurers compete for business from the same insurer by setting their own pricing rules, modeled by a non-cooperative Nash game. The combined Stackelberg-Nash game constitutes the first layer of the game model and endogenously determines the risk assumed by each reinsurer. The two reinsurers, then, participate in a cooperative risk-sharing game, forming the second layer of the game model, and seek Pareto-optimal risk-sharing rules. We obtain equilibrium strategies in closed form for both layers. The equilibrium of the Stackelberg-Nash game consists of two proportional reinsurance contracts, with the more risk-averse reinsurer assuming a smaller portion of the insurer's total risk. The Pareto-optimal risk-sharing rules further dictate that the more risk-averse reinsurer transfers a portion of its assumed risk to the less risk-averse reinsurer, at the cost of a positive side payment.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103133"},"PeriodicalIF":2.2,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144781830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective 基于动态衍生品的随机波动养老金投资：行为视角

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-09-18 DOI: 10.1016/j.insmatheco.2025.103158

Zheng Chen , Zhongfei Li , Yan Zeng , Yang Shen

引用次数: 0

Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game Stackelberg-Nash微分对策中相关保险企业的最优风险分担

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-11-04 DOI: 10.1016/j.insmatheco.2025.103171

Mengyu Wu , Zhibin Liang , Qingqing Zhang

{"title":"Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game","authors":"Mengyu Wu , Zhibin Liang , Qingqing Zhang","doi":"10.1016/j.insmatheco.2025.103171","DOIUrl":"10.1016/j.insmatheco.2025.103171","url":null,"abstract":"<div><div>In this paper, we investigate the optimal risk sharing problem for two insurers under the framework of Stackelberg-Nash differential game. More specifically, two insurers transfer their businesses to each other for achieving the goal of win-win, where both of them act as the leader for pricing while the follower for choosing their own retention level. Based on the game theoretic equilibrium setting and dynamic programming principle, the explicit optimal strategies are derived. We find that insurers will cooperate more eagerly when there is a stronger negative correlation between the businesses of both parties. In order to explore the advantages of risk sharing, we also investigate the optimal reinsurance problem in a traditional Stackelberg game framework. Risk sharing is found to be more advantageous than reinsurance in many cases, especially when the businesses have significant differences, such as a strong negative correlation or a large/small volatility ratio, which means that one of the two businesses is relatively stable while the other fluctuates greatly. Further analysis is given to show the effects of model parameters and the economics interpretations behind them. It is interesting to find that risk-aversion coefficient plays a key role in this Stackelberg-Nash differential game, and the conclusions confirm an obvious fact, that is, risk-averse individuals tend to be more hesitant and conservative when making a decision.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103171"},"PeriodicalIF":2.2,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal life insurance and annuity decisions under money illusion 金钱错觉下的最优寿险和年金决策

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-08-13 DOI: 10.1016/j.insmatheco.2025.103141

Wenyuan Li , Pengyu Wei

引用次数: 0

Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach 瑞士老年人多病模式的发展：一种竞争风险建模方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-09-09 DOI: 10.1016/j.insmatheco.2025.103155

Laura Iveth Aburto Barrera , Anna Nicolet , Christophe Bagnoud , Joachim Marti , Joël Wagner

{"title":"Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach","authors":"Laura Iveth Aburto Barrera , Anna Nicolet , Christophe Bagnoud , Joachim Marti , Joël Wagner","doi":"10.1016/j.insmatheco.2025.103155","DOIUrl":"10.1016/j.insmatheco.2025.103155","url":null,"abstract":"<div><div>Multimorbidity, multiple long-term health conditions co-occurring in one individual, is a complex challenge that affects individuals, healthcare systems, and society. People with multimorbidity have a lower quality of life, higher mortality, and more complex needs and holistic treatments, resulting in higher health insurance and overall healthcare costs. Our study aims to investigate the progression of multimorbidity by identifying the main disease patterns in the adult population. Using an extensive dataset of health insurance claims from one of the largest Swiss health insurance companies, we categorize chronic long-term diseases into different pharmacy cost groups based on a medical classification system to assess the morbidity status of insureds. Developing on a competing risks framework, we use subdistribution hazard models adjusted for age effects to model key multimorbidity patterns, considering the most prevalent chronic diseases in the population. Our analysis focuses on estimating cumulative incidence functions for gender-specific trajectories. By shedding light on these patterns, our study contributes to a deeper understanding of multimorbidity dynamics and potential patient pathways. It provides information for decision-makers, financial planners, and healthcare professionals to enable optimal resource allocation and facilitate prevention and interventions tailored to the needs of various morbidity groups to reduce the disease burden and economic impact.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103155"},"PeriodicalIF":2.2,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145026607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility 具有随机利率和4/2随机波动率的保险稳健时一致Stackelberg微分对策

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-09-18 DOI: 10.1016/j.insmatheco.2025.103159

Hao Chang, Xiao-Jia Li

{"title":"Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility","authors":"Hao Chang, Xiao-Jia Li","doi":"10.1016/j.insmatheco.2025.103159","DOIUrl":"10.1016/j.insmatheco.2025.103159","url":null,"abstract":"<div><div>This paper studies the robust time-consistent investment-reinsurance problem for an insurer and a reinsurer under the framework of the Stackelberg stochastic differential game, in which the reinsurer is the leader and the insurer is the follower. The insurer hedges the claim risk by purchasing proportional reinsurance, and both the insurer and reinsurer can invest in a financial market consisting of a risk-free asset, a stock, and a rolling bond to manage risk. The interest rates and the volatility of stock price are assumed to obey the affine term-structure model and the 4/2 stochastic volatility model, respectively. Assume that both the insurer and the reinsurer are ambiguity-averse, and we establish the robust optimal control problem for an insurer and a reinsurer under the mean-variance criterion, respectively. Robust time-consistent investment and reinsurance strategies are determined by the Stackelberg equilibrium of the game, which considers the interests of both the insurer and the reinsurer and reflects the information asymmetry between the two parties. By employing the stochastic optimal control theory, we derive the robust time-consistent Stackelberg strategies. Finally, some sensitivity analysis and comparative analysis are presented to illustrate the results obtained.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103159"},"PeriodicalIF":2.2,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145120295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility 具有非凹期望效用的最优消费-休闲-投资与退休选择

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.insmatheco.2025.103165

Shuang Li , Hui Meng , Ming Zhou

引用次数: 0

An optimal periodic dividend and risk control problem for an insurance company 保险公司最优分红与风险控制问题

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-09-02 DOI: 10.1016/j.insmatheco.2025.103154

Mark Kelbert, Harold A. Moreno-Franco

引用次数: 0

Numerical methods for computing risk measures of variable annuities under exponential Lévy models 指数lsamvy模型下可变年金风险测度的数值计算方法

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.insmatheco.2025.103166

Oleg Kudryavtsev , Xiao Wei

{"title":"Numerical methods for computing risk measures of variable annuities under exponential Lévy models","authors":"Oleg Kudryavtsev , Xiao Wei","doi":"10.1016/j.insmatheco.2025.103166","DOIUrl":"10.1016/j.insmatheco.2025.103166","url":null,"abstract":"<div><div>We propose an efficient numerical method to calculate the Value-at-Risk and Conditional Tail Expectation for variable annuities under exponential Lévy models. In the proposed approach, the probability density of the net liabilities, expressed in terms of the final position and integral of the exponential Lévy process, is approximated using frame theory and Riesz bases using 3rd order B-splines. The key element of the numerical method is a new algorithm for calculating the integral of the exponential Lévy process, approximated by a discrete sum whose expectation coincides with the expected value of the desired integral. In the main part of our numerical algorithm, to find Value-at-Risk as a quantile of the loss distribution, we numerically solve the equation for the corresponding cumulative distribution function using Newton's method adapted to the probability density approximation by B-splines. Once the Value-at-Risk is found, we calculate the Conditional Tail Expectation using integration by parts, again taking advantage of the properties of cubic B-splines. Numerical experiments on the application of the developed method for the Black-Scholes and CGMY models clearly demonstrate its high accuracy and speed.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103166"},"PeriodicalIF":2.2,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145332457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims 具有càdlàg收益和多变量重尾索赔的多维风险模型破产概率的一致渐近估计

IF 2.2 2区经济学

Insurance Mathematics & Economics Pub Date : 2025-11-01 Epub Date: 2025-08-13 DOI: 10.1016/j.insmatheco.2025.103148

Dimitrios G. Konstantinides, Charalampos D. Passalidis

引用次数: 0