Non-zero-sum reinsurance games subject to ambiguous correlations

Pun, CS; Siu, CC; Wong, HY

Non-zero-sum reinsurance games subject to ambiguous correlations

Pun, CS Siu, CC Wong, HY

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Publication Type:: Journal Article
Citation:: Operations Research Letters, 2016, 44 (5), pp. 578 - 586
Issue Date:: 2016-09-01

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Field	Value	Language
dc.contributor.author	Pun, CS	en_US
dc.contributor.author	Siu, CC	en_US
dc.contributor.author	Wong, HY	en_US
dc.date.issued	2016-09-01	en_US
dc.identifier.citation	Operations Research Letters, 2016, 44 (5), pp. 578 - 586	en_US
dc.identifier.issn	0167-6377	en_US
dc.identifier.uri	http://hdl.handle.net/10453/122799
dc.description.abstract	© 2016 Elsevier B.V. This paper studies the economic implications of ambiguous correlation in a non-zero-sum game between two insurers. We establish the general framework of Nash equilibrium for the coupled optimization problems. For the constant absolute risk aversion (CARA) insurers, we show that the equilibrium reinsurance strategies admit closed-form solutions. Our results indicate that the ambiguous correlation leads to an increase in the equilibrium demand of reinsurance protection for both insurers. Numerical studies examine the effect on the quality of the correlation estimations.	en_US
dc.relation.ispartof	Operations Research Letters	en_US
dc.relation.isbasedon	10.1016/j.orl.2016.06.004	en_US
dc.subject.classification	Operations Research	en_US
dc.title	Non-zero-sum reinsurance games subject to ambiguous correlations	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	44	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0103 Numerical and Computational Mathematics	en_US
utslib.for	1503 Business and Management	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	5	en_US
pubs.publication-status	Published	en_US
pubs.volume	44	en_US

Abstract:

© 2016 Elsevier B.V. This paper studies the economic implications of ambiguous correlation in a non-zero-sum game between two insurers. We establish the general framework of Nash equilibrium for the coupled optimization problems. For the constant absolute risk aversion (CARA) insurers, we show that the equilibrium reinsurance strategies admit closed-form solutions. Our results indicate that the ambiguous correlation leads to an increase in the equilibrium demand of reinsurance protection for both insurers. Numerical studies examine the effect on the quality of the correlation estimations.

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http://hdl.handle.net/10453/122799