Researchers at East China Normal University Release New Data on Insurance Economics (Stochastic Differential Investment and Reinsurance Games With Nonlinear Risk Processes and Var Constraints)

2021 FEB 26 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Current study results on Economics - Insurance Economics have been published. According to news reporting originating from Shanghai, People’s Republic of China, by NewsRx correspondents, research stated, “This paper investigates a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. We allow both insurers to purchase a proportional reinsurance contract and invest in risky and risk-free assets.”

Financial supporters for this research include National Social Science Foundation Key Program, China, National Natural Science Foundation of China (NSFC), National Natural Science Foundation of China (NSFC), Ministry of Education, China - 111 Project, Hong Kong Research Grants Council, Faculty Research Grant of The University of Melbourne, Australia.

Our news editors obtained a quote from the research from East China Normal University, “When applying the generalized mean-variance premium principle in determining reinsurance premium, the surplus process becomes quadratic in the retained proportion of the claims. The optimization criterion of each insurer is to maximize the expected utility of the insurer’s terminal performance relative to that of his competitor. In addition, we incorporate dynamic Value-at-Risk (VaR) constraints in the optimization problems of both insurers to satisfy the capital requirements from regulators. The results show that this game problem can be converted to solving a system of nonlinear equations by means of dynamic programming principle and Karush-Kuhn-Tucker (KKT) conditions. Specifically, when both insurers are constant absolute risk aversion (CARA) institutions and the reinsurance premium principle reduces to the expected value principle, we derive the simplified expressions for the Nash equilibrium strategies.”

According to the news editors, the research concluded: “Finally, we use some numerical examples to illustrate the effects of several model parameters on the Nash equilibrium strategies under three different scenarios.”

This research has been peer-reviewed.

For more information on this research see: Stochastic Differential Investment and Reinsurance Games With Nonlinear Risk Processes and Var Constraints. Insurance Mathematics and Economics, 2021;96:168-184. Insurance Mathematics and Economics can be contacted at: Elsevier, Radarweg 29, 1043 Nx Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting Nan Zhang, East China Normal University, School of Statistics, Key Lab Adv Theory & Applicat Stat & Data Sci Moe, 3663 North Zhongshan Rd, Shanghai 200062, People’s Republic of China. Additional authors for this research include Ning Wang, Linyi Qian and Zhuo Jin.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2020.11.004. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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