在CEV模型下带违约风险的时间一致再保险投资博弈

TIME-CONSISTENT REINSURANCE AND INVESTMENT GAME WITH DEFAULT RISK UNDER CEV MODEL

本文研究两个竞争保险公司之间的非零和随机微分博弈问题.利用博弈和随机动态规划方法,获得了违约前和违约后的纳什均衡策略和相应的值函数.最后对纳什均衡策略进行参数分析,并给出经济解释.

This paper studies the non-zero-sum stochastic differential game between two competing insurance companies.Applying game theory and stochastic dynamic programming techniques,we derive the Nash equilibrium strategies and the corresponding value functions for the post-default case and the pre-default case.Finally,we conduct some numerical examples to draw some economic interpretations from these results.