Stochastic Brownian Game Of Absolute Dominance
Absolute dominance, Diffusion approximation, Nash equilibrium, Reinsurance, Stochastic differential game
Journal of Applied Probability
In this paper we study a reinsurance game between two insurers whose surplus processes are modeled by arithmetic Brownian motions. We assume a minimax criterion in the game. One insurer tries to maximize the probability of absolute dominance while the other tries to minimize it through reinsurance control. Here absolute dominance is defined as the event that liminf of the difference of the surplus levels tends to-. Under suitable parameter conditions, the game is solved with the value function and the Nash equilibrium strategy given in explicit form. © Applied Probability Trust 2014.
Department of Mathematics
Original Publication Date
DOI of published version
Luo, Shangzhen, "Stochastic Brownian Game Of Absolute Dominance" (2014). Faculty Publications. 1475.