具有合作与竞争的鲁棒最优再保险合同

杨鹏

系统工程理论与实践 ›› 2024, Vol. 44 ›› Issue (2) : 563-578.

PDF(338 KB)
PDF(338 KB)
系统工程理论与实践 ›› 2024, Vol. 44 ›› Issue (2) : 563-578. DOI: 10.12011/SETP2022-2198
论文

具有合作与竞争的鲁棒最优再保险合同

    杨鹏
作者信息 +

Robust optimal reinsurance contract with cooperation and competition

    YANG Peng
Author information +
文章历史 +

摘要

本文研究了n个合作的保险人与一个再保险人之间竞争下的最优再保险合同制定问题.再保险合同由索赔风险分担策略和再保险价格构成.n个保险人完全相信各自的盈余过程,而再保险人认为每个保险人的盈余过程存在不确定性.每个保险人的目标是,寻找最优的索赔风险分担策略最大化他的终值财富的均值同时最小化其方差.再保险人的目标是,在盈余过程出现最坏情形下,寻找鲁棒最优再保险价格最大化他的终值财富的均值同时最小化其方差.在Stackelberg博弈框架下,通过使用随机控制和随机动态规划技术得到了最优的索赔风险分担策略和再保险价格的显式解,进而得到了最优再保险合同的显式解.最终,通过数值实验解释了模型参数对所得理论结果的影响,得到了一些新的再保险启示.

Abstract

This paper investigates an optimal reinsurance contract formulation problem under the competition between n cooperative insurers and one reinsurer. The reinsurance contract consists of claim risk sharing strategy and reinsurance price. n insurers fully believe in their respective surplus process, while the reinsurer believes that each insurer's surplus process is uncertain. Each insurer's goal is to find an optimal claim risk sharing strategy so as to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. The reinsurer's goal is to find an optimal reinsurance price so as to maximize the expected terminal wealth while minimizing the variance of the terminal wealth under the worst-case scenario of surplus process. Under the Stackelberg game framework, by using the stochastic control and stochastic dynamic programming techniques, we obtain the explicit solutions for the optimal claim risk sharing strategy and reinsurance price, furthermore derive the explicit solution for the optimal reinsurance contract. Finally, the influence of model parameter on the theoretical results is illustrated by numerical experiment, and some new reinsurance inspirations are obtained.

关键词

竞争 / 合作 / 模型不确定 / 索赔风险分担策略 / 再保险价格

Key words

competition / cooperation / model uncertainty / claim risk sharing strategy / reinsurance price

引用本文

导出引用
杨鹏. 具有合作与竞争的鲁棒最优再保险合同. 系统工程理论与实践, 2024, 44(2): 563-578 https://doi.org/10.12011/SETP2022-2198
YANG Peng. Robust optimal reinsurance contract with cooperation and competition. Systems Engineering - Theory & Practice, 2024, 44(2): 563-578 https://doi.org/10.12011/SETP2022-2198
中图分类号: O225    O211    F840   

参考文献

[1] 袁临江. 再保险为实体经济保驾护航[J]. 中国金融, 2019(19): 67-69.Yuan L J. Reinsurance escorts the real economy[J]. China Finance, 2019(19): 67-69.
[2] Chen L, Shen Y. On a new paradigm of optimal reinsurance: A stochastic Stackelberg differential game between an insurer and a reinsurer[J]. Astin Bulletin, 2018, 48(2): 905-960.
[3] 朱怀念, 张成科, 曹铭. Heston模型下保险公司和再保险公司的投资与再保险博弈[J]. 中国管理科学, 2021, 29(6): 48-59.Zhu H N, Zhang C K, Cao M. Investment and reinsurance game between insurer and reinsurer under Heston model[J]. Chinese Journal of Management Science, 2021, 29(6): 48-59.
[4] Chen L, Shen Y. Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework[J]. Insurance: Mathematics and Economics, 2019, 88: 120-137.
[5] Gu A, Chen S, Li Z, et al. Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model[J]. Scandinavian Actuarial Journal, 2022(9): 749-774.
[6] Hu D, Wang H. Robust reinsurance contract with learning and ambiguity aversion[J]. Scandinavian Actuarial Journal, 2022(9): 794-815.
[7] Li D, Young V R. Stackelberg differential game for reinsurance: Mean-variance framework and random horizon[J]. Insurance: Mathematics and Economics, 2022, 102: 42-55.
[8] Bensoussan A, Siu C C, Yam S C P, et al. A class of non-zero-sum stochastic differential investment and reinsurance games[J]. Automatica, 2014, 50(8): 2025-2037.
[9] Siu C C, Yam S C P, Yang H, et al. A class of nonzero-sum investment and reinsurance games subject to systematic risks[J]. Scandinavian Actuarial Journal, 2017(8): 670-707.
[10] Chen S, Yang H, Zeng Y. Stochastic differential games between two insurers with generalized mean-variance premium principle[J]. Astin Bulletin, 2018, 48(1): 413-434.
[11] Wang N, Zhang N, Jin Z, et al. Reinsurance-investment game between two mean-variance insurers under model uncertainty[J]. Journal of Computational and Applied Mathematics, 2021, 382: 113095.
[12] Zhu J, Guan G, Li S. Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks[J]. Journal of Computational and Applied Mathematics, 2020, 374: 112737.
[13] Yang P, Chen Z, Xu Y. Time-consistent equilibrium reinsurance-investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework[J]. Journal of Computational and Applied Mathematics, 2020, 374: 112769.
[14] Guan G, Hu X. Time-consistent investment and reinsurance strategies for mean-variance insurers in N-agent and mean-field games[J]. North American Actuarial Journal, 2022, 26(4): 537-569.
[15] Guan G, Hu X. Equilibrium mean-variance reinsurance and investment strategies for a general insurance company under smooth ambiguity[J]. North American Journal of Economics and Finance, 2022, 63: 101793.
[16] Bai Y, Zhou Z, Xiao H, et al. A hybrid stochastic differential reinsurance and investment game with bounded memory[J]. European Journal of Operational Research, 2022, 296: 717-737.
[17] 朱怀念, 宾宁, 张成科. 一类双层非零和随机微分投资与再保险博弈模型[J]. 系统科学与数学, 2021, 41(11): 3234-3253.Zhu H N, Bin N, Zhang C K. A class of hybrid non-zero-sum stochastic differential investment and reinsurance games[J]. Journal of Systems Science and Mathematical Sciences, 2021, 41(11): 3234-3253.
[18] Kristo J, Zaja M M, Jaksic S. How does mutual ownership affect insurance investments[J]. Journal of Co-operative Organization and Management, 2023, 11(1): 100191.
[19] Asimit V, Boonen T J. Insurance with multiple insurers: A game-theoretic approach[J]. European Journal of Operational Research, 2018, 267(2): 778-790.
[20] 杨鹏. 竞争与合作统一框架下的鲁棒最优再保险策略[J]. 系统科学与数学, 2023, 43(5): 1260-1275.Yang P. Robust optimal reinsurance strategy under the unified framework of competition and cooperation[J]. Journal of Systems Science and Mathematical Sciences, 2023, 43(5): 1260-1275.
[21] Yang P, Chen Z. Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework[J]. IMA Journal of Management Mathematics, 2023, 34(4): 661-694.
[22] 宾宁, 朱怀念. 考虑模糊厌恶和时滞效应的随机微分投资与再保险策略[J]. 系统工程理论与实践, 2021, 41(6): 1439-1453.Bin N, Zhu H N. Stochastic differential investment and reinsurance strategy with ambiguity aversion and delay[J]. Systems Engineering — Theory & Practice, 2021, 41(6): 1439-1453.
[23] Grandell J. Aspects of risk theory[M]. Springer-Verlag, New York, 1991.
[24] Branger N, Larsen L S. Robust portfolio choice with uncertainty about jump and diffusion risk[J]. Journal of Banking and Finance, 2013, 37(12): 5036-5047.
[25] Björk T, Murgoci A. A general theory of Markovian time inconsistent stochastic control problems[R]. Working Paper, Stockholm School of Economics, 2010. http://ssrn.com/abstract=1694759.
[26] Yang P, Chen Z, Wang L. Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process[J]. Communications in Statistics — Theory and Methods, 2021, 50(11): 2546-2568.
[27] Lin X, Qian Y. Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model[J]. Scandinavian Actuarial Journal, 2016(7): 646-671.
[28] Zeng Y, Li D, Gu A. Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps[J]. Insurance: Mathematics and Economics, 2016, 66: 138-152.
[29] Guan G, Liang Z. Robust optimal reinsurance and investment strategies for an AAI with multiple risks[J]. Insurance: Mathematics and Economics, 2019, 89: 63-78.

基金

教育部人文社会科学研究青年基金西部和边疆地区项目(21XJC910001); 陕西省自然科学基础研究计划资助项目(2023-JC-YB-002)
PDF(338 KB)

329

Accesses

0

Citation

Detail

段落导航
相关文章

/