Optimal non-proportional reinsurance control and stochastic differential games

Taksar, Michael; Zeng, Xudong

doi:10.1016/j.insmatheco.2010.09.006

Cited by 43 publications

(31 citation statements)

References 10 publications

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“…In a slightly different strand of research, Browne (2000), Zeng (2010) and Taksar and Zeng (2011) consider zero-sum stochastic differential games between two competitive investors/insurers. Besides, Bensoussan and Frehse (2000) examine the non-zero-sum stochastic differential game with N players over an infinite time horizon.…”

Section: And Elliot and Siumentioning

confidence: 99%

Non-Zero-Sum Stochastic Differential Reinsurance and Investment Games with Default Risk

2015

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Section: And Elliot and Siumentioning

confidence: 99%

Non-Zero-Sum Stochastic Differential Reinsurance and Investment Games with Default Risk

2015

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“…12. A different approach following the same intuition is presented by Taksar and Zeng (2011), who develop a scenario in which a stochastic differential game is carried out between two re-ensurers, where both companies attempt to reduce risk exposure. 13.…”

Section: Notesmentioning

confidence: 99%

The optimal size of the European Stability Mechanism: a cost–benefit analysis

Kapp

2014

The European Journal of Finance

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This study presents a core-periphery model to determine the optimal size of the European Stability Mechanism (ESM), building on Jeanne and Ranciere [2011. "The Optimal Level of International Reserves for Emerging Market Countries: A New Formula and Some Applications." The Economic Journal 121: 905-930]. While the periphery is subject to a probability of losing access to external credit, the core's incentive for setting up an ESM stems exclusively from the spillover effects present in the case of periphery default. The model develops regional best response functions, determining a set of feasible ranges for the total ESM size, given optimal regional contributions. The model is then calibrated to the European Economic and Monetary Union. If costs from default are reasonably high, the probability of the periphery not having access to external credit is sufficiently large, and spillover effects to the core are present, both the core and the periphery have an interest in contributing to the ESM. Calibration and sensitivity analysis suggest that the optimal ESM size is between the current and twice the size of the agreed-upon ESM.

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“…For maximizing/minimizing a payoff function depending on the difference of two insurance companies' surplus processes, Zeng (2010) and Taksar and Zeng (2011) studied a zero-sum stochastic differential game between two insurers by applying proportional and non-proportional reinsurance, respectively. Bensoussan et al (2014) studied the relative performance of two insurance companies under a nonzero sum stochastic differential game framework.…”

Section: Introductionmentioning

confidence: 99%