Nash equilibria in optimal reinsurance bargaining

Anthropelos, Michail; Boonen, Tim J.

doi:10.1016/j.insmatheco.2020.05.001

Cited by 12 publications

(4 citation statements)

References 25 publications

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“…For example, this article studies equilibrium investment-reinsurance strategies under general or special reinsurance premium calculation rules but does not involve the pricing of reinsurance premiums. With the method in Chen and Shen [15], Chen and Shen [16] and Anthropelos and Boonen [38], how to find a reasonable reinsurance premium calculation formula to maximize the benefits of both the insurer and reinsurer in the discrete-time framework is an urgent problem to be studied. Furthermore, with reference to the methods of Bensoussan et al [9], Pun and Wong [10], Pun et al [11], and so on, the study of the game problem between two insurance companies in discrete-time framework is also a good expandable study direction of this paper in the future.…”

Section: Discussionmentioning

confidence: 99%

Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests

et al. 2020

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This paper investigates the generalized multi-period mean-variance investment-reinsurance optimization model in a discrete-time framework for a general insurance company that contains a reinsurer and an insurer. The intertemporal restrictions and the common interests of the reinsurer and the insurer are considered. The common goal of the reinsurer and the insurer is to maximize the expectation of the weighted sum of their wealth processes and minimize the corresponding variance. Based on the game method, we obtain the Nash equilibrium investment-reinsurance strategies for the above-proposed model and find out the equilibrium strategies when unilateral interest is considered. In addition, the Nash equilibrium investment-reinsurance strategies are deduced under two special premium calculated principles (i.e., the expected value premium principle and the variance value premium principle). We theoretically study the effect of the intertemporal restrictions on Nash equilibrium investment-reinsurance strategies and find the effect depends on the value of some parameters, which differs from the previous researches that generally believed that intertemporal restrictions would make investors avoid risks. Finally, we perform corresponding numerical analyses to verify our theoretical results.

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Section: Discussionmentioning

confidence: 99%

Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests

et al. 2020

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“…Kim (1996) and Matsui and Matsuyama (1995) have examined the equilibrium selection problem through theoretical approaches. However, which one of the equilibria should be chosen is still not found (Mailath, 1998) and also it should have an additional criterion to select the specific one since it is not a unique value (Anthropelos & Boonen, 2020).…”

Section: Multi-criteria Decision Making and Game Theorymentioning

confidence: 99%

Nash equilibrium selection using a hybrid two-player static game with trade-off ranking method

Ibrahim,

Jaini,

KU KHALIF

2024

Pak.j.stat.oper.res.

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The paper aims to suggest the ranking of an optimal solution when there exists more than one Nash equilibrium in the game theory solution concept. Many studies tend to merge the game theory with the multi criteria decision-making (MCDM) method to cater the real-situation problems. In the paper, a novel hybrid non-cooperative static game in game theory is combines with the trade-off ranking (TOR) method in MCDM. The proposed hybrid method is used to rank multiple Nash equilibria concerning some criteria. The methodology for both static game and TOR method are explained in the paper. The game theory model used is a two-player non-constant-sum static game. The proposed methodology is tested using international cooperation in Iran. The result suggests the ranking of the combined strategies using the proposed method.

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“…Nash equilibrium means that every player cannot obtain additional advantage by adjusting his/her present strategy individually. The Nash equilibrium has played significant roles in many disciplines: psychology, economics, engineering management, computer sciences [4], reinsurance bargaining [5], etc. The Nash equilibrium may not be unique but multiple.…”

Section: Introductionmentioning

confidence: 99%

An Intelligent Algorithm for Solving the Efficient Nash Equilibrium of a Single-Leader Multi-Follower Game

Liu

Jia

2021

Mathematics

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This aim of this paper is to provide the immune particle swarm optimization (IPSO) algorithm for solving the single-leader–multi-follower game (SLMFG). Through cooperating with the particle swarm optimization (PSO) algorithm and an immune memory mechanism, the IPSO algorithm is designed. Furthermore, we define the efficient Nash equilibrium from the perspective of mathematical economics, which maximizes social welfare and further refines the number of Nash equilibria. In the end, numerical experiments show that the IPSO algorithm has fast convergence speed and high effectiveness.

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Nash equilibria in optimal reinsurance bargaining

Cited by 12 publications

References 25 publications

Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests

Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests

Nash equilibrium selection using a hybrid two-player static game with trade-off ranking method

An Intelligent Algorithm for Solving the Efficient Nash Equilibrium of a Single-Leader Multi-Follower Game

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