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Updated: Sep 17, 2025

An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
Reinsurance-investment game between two α-maxmin mean-variance insurers
Qian Zhang1, Guoyong Zhou1, Jing Fu2
1School of Mathematics and Physics, Leshan Normal University, Leshan, Sichuan, China.
Abstract:
This paper examines a non-zero-sum stochastic differential reinsurance-investment game between two competitive insurers under the [Formula: see text]-maximin mean-variance criterion. Both insurers can purchase proportional reinsurance and invest in a financial market consisting of one risk-free asset and one risky asset, and each insurer is concerned with its terminal surplus and relative performance compared to its competitor. The insurers aim to maximize the [Formula: see text]-maximin mean-variance utility, which allows them to exhibit different attitudes towards model ambiguity. By solving the extended Hamilton-Jacobi-Bellman (HJB) equations for both insurers, we derive the [Formula: see text]-robust equilibrium reinsurance and investment strategies. Finally, several numerical examples are provided to illustrate the impact of some model parameters on the equilibrium strategies.
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