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A stochastic differential game for quadratic-linear diffusion processes

Published online by Cambridge University Press:  11 January 2017

Shangzhen Luo
Affiliation:
University of Northern Iowa
Corresponding
E-mail address:

Abstract

In this paper we study a stochastic differential game between two insurers whose surplus processes are modelled by quadratic-linear diffusion processes. We consider an exit probability game. One insurer controls its risk process to minimize the probability that the surplus difference reaches a low level (indicating a disadvantaged surplus position of the insurer) before reaching a high level, while the other insurer aims to maximize the probability. We solve the game by finding the value function and the Nash equilibrium strategy in explicit forms.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 2017 

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References

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