再保险
指数效用
经济
投资(军事)
常量(计算机编程)
数理经济学
布朗运动
投资策略
库存(枪支)
计量经济学
微观经济学
精算学
数学
计算机科学
统计
政治学
机械工程
法学
程序设计语言
利润(经济学)
工程类
政治
作者
Yong He,Lin He,Dengsheng Chen,Zhezhi Liu
摘要
The paper investigates a family of robust reinsurance-investment strategies under relative performance criteria for the insurers who have exponential utility and trade in a common reinsurance-investment horizon in log-normal markets. Assume that two correlated Brownian motions used to characterize the insurance surplus risk and stock price risk. By applying stochastic control theories, we derive the closed-form solutions for the n-players game and the corresponding mean field game, furthermore the equilibria strategies are shown to be unique in the class of constant equilibria. Finally, we present the influence of model parameters on reinsurance and investment strategies with economic explanations by some numerical figures.
科研通智能强力驱动
Strongly Powered by AbleSci AI