کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077665 1374142 2006 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An insurance network: Nash equilibrium
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
An insurance network: Nash equilibrium
چکیده انگلیسی
We consider d insurance companies whose surplus processes are r.c.l.l. functions (like the sample paths of perturbed Levy processes). Suppose they have a treaty to diversify risk; accordingly, if one company needs a certain amount to prevent ruin, the other companies pitch in previously - agreed - upon fractions of the amount, and any shortfall is got from external sources. With each company trying to minimise its repayment liability, the situation is viewed upon as a d-person dynamic game with state space constraints and a Nash equilibrium is sought. Under certain natural conditions, it is shown that the Skorokhod problem of probability theory provides a (unique) Nash equilibrium. The thrust of the paper is entirely deterministic.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 2, 7 April 2006, Pages 374-390
نویسندگان
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