在CEV模型下带违约风险的时间一致再保险投资博弈  

TIME-CONSISTENT REINSURANCE AND INVESTMENT GAME WITH DEFAULT RISK UNDER CEV MODEL

作　　者：李国柱 马世霞[1] LI Guo-zhu;MA Shi-xia(School of Sciences,Hebei University of Technology,Tianjin 300401,China)

机构地区：[1]河北工业大学理学院,天津300401

出　　处：《数学杂志》2020年第6期662-672,共11页Journal of Mathematics

基　　金：国家自然科学基金项目(11301133,11471218).

摘　　要：本文研究两个竞争保险公司之间的非零和随机微分博弈问题.利用博弈和随机动态规划方法,获得了违约前和违约后的纳什均衡策略和相应的值函数.最后对纳什均衡策略进行参数分析,并给出经济解释.This paper studies the non-zero-sum stochastic differential game between two competing insurance companies.Applying game theory and stochastic dynamic programming techniques,we derive the Nash equilibrium strategies and the corresponding value functions for the post-default case and the pre-default case.Finally,we conduct some numerical examples to draw some economic interpretations from these results.

关 键 词：非零和随机微分博弈 相对绩效 CEV模型 可违约风险 

分 类 号：O211.6[理学—概率论与数理统计] O29[理学—数学]