Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142019 | Operations Research Letters | 2016 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong,