Research on the Multi-party Hybrid Game of Investment and Reinsurance Influenced by a Large Investor

Research on the Multi-party Hybrid Game of Investment and Reinsurance Influenced by a Large Investor | Authorea try { document.documentElement.classList.add('js'); } catch (e) { } var _gaq = _gaq || []; _gaq.push(['_setAccount', 'G-8VDV14Y67G']); _gaq.push(['_trackPageview']); (function() { var ga = document.createElement('script'); ga.type = 'text/javascript'; ga.async = true; ga.src = ('https:' == document.location.protocol ? 'https://ssl' : 'http://www') + '.google-analytics.com/ga.js'; var s = document.getElementsByTagName('script')[0]; s.parentNode.insertBefore(ga, s); })(); Skip to main content Preprints Collections Wiley Open Research IET Open Research Ecological Society of Japan All Collections About About Authorea FAQs Contact Us Quick Search anywhere Search for preprint articles, keywords, etc. Search Search ADVANCED SEARCH SCROLL This is a preprint and has not been peer reviewed. Data may be preliminary. 6 February 2026 V1 Latest version Share on Research on the Multi-party Hybrid Game of Investment and Reinsurance Influenced by a Large Investor Authors : Yanfei Bai 0000-0002-6073-6576 , Jiahui Mu , Rui Gao [email protected] , Ye Hu , and Zichen Zhao Authors Info & Affiliations https://doi.org/10.22541/au.177037931.16114074/v1 87 views 39 downloads Contents Abstract Supplementary Material Information & Authors Metrics & Citations View Options References Figures Tables Media Share Abstract This article investigates a hybrid investment-reinsurance game between a reinsurer and two insurers. All players invest in a financial market with one risk-free and one risky asset, whose return is affected by the large investor. Given the enormous asset scale, we assume the reinsurer acts as the large investor. As the leader in the Stackelberg game, the reinsurer collects reinsurance premiums. The insurers, as followers, can purchase proportional reinsurance to diversify claim risks. Taking market competition into account, the insurers aim to maximize their relative performance at the terminal time, while the reinsurer seeks to maximize its own expected terminal utility. Using the dynamic programming and the backward induction method, we derive the equilibrium strategies, value functions, and provide a verification theorem. Subsequently, we present relevant conclusions based on several simplified scenarios. Finally, numerical simulations and sensitivity analysis are conducted to illustrate the impact of model parameters on the equilibrium strategies. Key findings: (1) the investment behavior of the reinsurer may either restrain or encourage investment in the risky asset by the participants; (2) the optimal reinsurance strategies depend on the optimal reinsurance premium strategy; (3) the reinsurance strategies of the two insurers interact and exhibit herd behavior. Supplementary Material File (largeinvestor260205.pdf) Download 1.35 MB Information & Authors Information Version history V1 Version 1 06 February 2026 Copyright This work is licensed under a Non Exclusive No Reuse License. Keywords decision analysis investment-reinsurance large investor non-zero-sum game stackelberg game Authors Affiliations Yanfei Bai 0000-0002-6073-6576 Shandong University of Finance and Economics View all articles by this author Jiahui Mu Shandong University of Finance and Economics View all articles by this author Rui Gao [email protected] Shandong University of Finance and Economics View all articles by this author Ye Hu Shandong University of Finance and Economics View all articles by this author Zichen Zhao The University of Melbourne View all articles by this author Metrics & Citations Metrics Article Usage 87 views 39 downloads .FvxKWukQNSOunydq8rnd { width: 100px; } Citations Download citation Yanfei Bai, Jiahui Mu, Rui Gao, et al. Research on the Multi-party Hybrid Game of Investment and Reinsurance Influenced by a Large Investor. Authorea . 06 February 2026. DOI: https://doi.org/10.22541/au.177037931.16114074/v1 If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Simply select your manager software from the list below and click Download. For more information or tips please see 'Downloading to a citation manager' in the Help menu . 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