Reinsurance game between two reinsurance companies

Speaker：ZOU Bin（Assistant Professor, University of Connecticut）

Host：Zeng Yan , Professor, Lingnan College

Time and Date：15:30, Apr. 12, 2023

Venue: Wong Ping-Lay Conference Room, Lingnan Hall (203)

Language: English + Chinese

Abstract:

This paper studies reinsurance contracting and competition in a continuous-time model with ambiguity. The market consists of one insurer and two reinsurers, who apply the expected-value premium principle and the variance premium principle to price reinsurance contracts, respectively. The reinsurance contracting problems between the insurer and reinsurers are resolved by Stackelberg differential games, and the reinsurance competition between two reinsurers is settled by a non-cooperative Nash game. We obtain the closed-form equilibrium strategies for all three players under both a tree structure and a chain structure. A detailed comparison study reveals that the tree structure is preferred to the chain structure from a social planner’s perspective, and the tree structure is generally preferred from the insurer’s perspective.

Profile of the speaker:

Education:

Ph.D. in Mathematical Finance, University of Alberta, 2015

Research Interests:

Actuarial Science; Financial Mathematics; Stochastic Control and Optimization