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Stochastic Cooperative Games in Insurance and Reinsurance

Suijs,J.P.M.
; 
De Waegenaere,A.M.B.
; 
Borm,P.E.M.
Abstract
This paper shows how problems in `non life'-insurance and `non life'-reinsurance can be modelled simultaneously as cooperative games with stochastic payoffs.Pareto optimal allocations of the risks faced by the insurers and the insureds are determined.It is shown that the core of the corresponding insurance games is nonempty.Moreover, it is shown that specific core allocations are obtained when the zero utility principle is used for calculating premiums. Finally, game theory is used to give a justification for subadditive premiums.
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Pagination: 33
Date
1996
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Publisher
Operations research
Collections
Tilburg University Research Output Collection
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Keywords
insurance, stochastic processes, cooperative games
Citation
Suijs, J P M, De Waegenaere, A M B & Borm, P E M 1996 'Stochastic Cooperative Games in Insurance and Reinsurance' CentER Discussion Paper, vol. 1996-53, Operations research, Tilburg.
URI
https://hdl.handle.net/20.500.14602/26339
License
info:eu-repo/semantics/restrictedAccess
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