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| 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. |
| 关键词: 非零和随机微分博弈 相对绩效 CEV模型 可违约风险 |
| DOI： |
| 分类号:O211.6;O29 |
| 基金项目:国家自然科学基金项目（11301133，11471218）. |
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| TIME-CONSISTENT REINSURANCE AND INVESTMENT GAME WITH DEFAULT RISK UNDER CEV MODEL |
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LI Guo-zhu,MA Shi-xia
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| Abstract: |
| 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. |
| Key words: Non-zero-sum stochastic differential game relative performance CEV model default risk |
