This paper investigates implications of strategic interaction (competition) between two CARA insurers on their reinsurance and investment policies. The two insurers are concerned about their terminal wealth as well as the relative performance measured by the difference between their terminal...

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model which is a particular case of the...