Researchers at Guangdong University of Technology Report New Data on Insurance (Non-zero-sum Stochastic Differential Games On Investment, Consumption and Proportional Reinsurance): Insurance

2023 DEC 29 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- A new study on Insurance is now available. According to news reporting out of Guangzhou, People’s Republic of China, by NewsRx editors, research stated, “In this paper, we study a stochastic differential investment consumption and proportional reinsurance game problem for two competitive insurers with constant absolute risk aversion (CARA) utilities. The utility of an insurer depends not only on his absolute wealth and consumption but also his relative wealth and consumption when compared to the other insurer.”

Funders for this research include Guangdong Philosophy and Social Sciences Planning Project, National Social Science Found of China, Guangdong Basic and Applied Basic Research Foundation, National Natural Science Foundation of China (NSFC).

Our news journalists obtained a quote from the research from the Guangdong University of Technology, “The surplus processes of both insurers are governed by the diffusion approximated process of the classical Crame <acute accent >r-Lundberg model. Each insurer is allowed to purchase a proportional reinsurance treaty and invest his surplus into a finan-cial market consisting of one risk-free asset and one risky asset to manage his insurance risk. Moreover, the consumption behavior of each insurer is also considered. The main objective of each insurer is to maximize the utility of his terminal surplus and accumulated consumption relative to that of his competitor. Applying the techniques of stochastic dynamic programming, we obtain the Hamilton-Jacobi-Bellman (HJB) equations for both insurers. We establish the equilibrium reinsurance-investment-consumption strategies and the corresponding equilibrium value functions of both insurers by solving the HJB equations. Finally, we perform some numerical examples to illustrate the influence of model parameters on the equilibrium reinsurance-investment-consumption strategies.”

According to the news editors, the research concluded: “Numerical simulation results indicate that the insurer’s investment, consumption and reinsurance strategies increase with the increasing of the sensitivity parameter to competition; and decrease with the increasing of the constant absolute risk aversion coefficient.”

This research has been peer-reviewed.

For more information on this research see: Non-zero-sum Stochastic Differential Games On Investment, Consumption and Proportional Reinsurance. Journal of Industrial and Management Optimization, 2023. Journal of Industrial and Management Optimization can be contacted at: Amer Inst Mathematical Sciences-aims, PO Box 2604, Springfield, Mo 65801-2604, United States.

Our news journalists report that additional information may be obtained by contacting Qiyou Liu, Guangdong University of Technology, School of Economics, Guangzhou, People’s Republic of China. Additional authors for this research include Ning Bin and Huainian Zhu.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.3934/jimo.2023154. 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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