IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v214y2024ics0167715224001925.html
   My bibliography  Save this article

Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein–Uhlenbeck process

Author

Listed:
  • Zhang, Yawen
  • Zhang, Caibin

Abstract

This paper considers a reinsurance and investment problem under the Stackelberg differential game. It assumes that the insurer can purchase reinsurance and the claim businesses between the insurer and the reinsurer are correlated through common shock dependence, and both of them are allowed to invest in a common risky asset whose price follows an Ornstein–Uhlenbeck process. By the stochastic control theory, explicit expressions of the optimal controls and the value functions are obtained for both of the insurer and reinsurer. We show that the optimal reinsurance strategy is a constant, which is independent of the time and risk-free interest rate. We also show that compared with the independent model, the insurer will purchase less reinsurance and the reinsurer will increase the premium price under the dependent risk model.

Suggested Citation

  • Zhang, Yawen & Zhang, Caibin, 2024. "Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein–Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 214(C).
    • Handle: RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001925
    DOI: 10.1016/j.spl.2024.110223
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715224001925
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2024.110223?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001925. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.