相关实验视频
Updated: Sep 17, 2025

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An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
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两家α-maxmin平均偏差保险公司之间的再保险投资游戏
Qian Zhang1, Guoyong Zhou1, Jing Fu2
1School of Mathematics and Physics, Leshan Normal University, Leshan, Sichuan, China.
PloS one
|June 27, 2025
概括
本研究探讨了一种竞争性的再保险投资游戏,使用一个强大的标准,确定面临市场模两可和相对绩效问题的保险公司的最佳策略. 这些发现提供了对保险市场强有力的平衡策略的见解.
科学领域:
- 精算科学 精算科学
- 金融数学 金融数学
- 游戏理论 游戏理论
背景情况:
- 具有竞争力的保险公司面临着关于再保险和投资的复杂决策.
- 模型的模糊性和相对性能是保险公司决策的关键因素.
- 随机差异游戏为分析金融市场战略互动提供了一个框架.
研究的目的:
- 分析两个竞争性保险公司之间的非零和随机差异再保险投资游戏.
- 将[公式:见文本]-最大平均偏差标准应用于模拟保险公司在模两可的情况下的效用.
- 为再保险和投资推导出强大的平衡策略.
主要方法:
- 制定一个非零和的随机微分游戏.
- [公式:请参阅文本]-最大平均方差实用性的应用.
- 解决扩展的汉密尔顿 - 雅各比 - 贝尔曼 (HJB) 方程.
- 导出平衡策略的导出. 平衡策略.
主要成果:
- [公式:见文本] - - 强平衡再保险和投资策略的衍生.
- 该研究确定了考虑终端余和相对业绩的最佳策略.
- 数字示例说明了模型参数对平衡策略的影响.
结论:
- [公式:见文本]-最大平均偏差标准有效地模拟了保险公司在模两可的情况下的行为.
- 由此产生的策略为保险公司的竞争性决策提供了坚实的框架.
- 了解参数影响对于保险和投资的实际应用至关重要.
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