Stochastic Cooperative Games in Insurance and Reinsurance

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Number of pages33
Volume1996-53
Publication statusPublished - 1996

Publication series

NameCentER Discussion Paper
Volume1996-53

Keywords

  • insurance
  • stochastic processes
  • cooperative games

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