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

Fingerprint

Insurance
Game theory

Keywords

  • insurance
  • stochastic processes
  • cooperative games

Cite this

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). Tilburg: Operations research.
Suijs, J.P.M. ; De Waegenaere, A.M.B. ; Borm, P.E.M. / Stochastic Cooperative Games in Insurance and Reinsurance. Tilburg : Operations research, 1996. (CentER Discussion Paper).
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Suijs, JPM, De Waegenaere, AMB & Borm, PEM 1996 'Stochastic Cooperative Games in Insurance and Reinsurance' CentER Discussion Paper, vol. 1996-53, Operations research, Tilburg.

Stochastic Cooperative Games in Insurance and Reinsurance. / Suijs, J.P.M.; De Waegenaere, A.M.B.; Borm, P.E.M.

Tilburg : Operations research, 1996. (CentER Discussion Paper; Vol. 1996-53).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Stochastic Cooperative Games in Insurance and Reinsurance

AU - Suijs, J.P.M.

AU - De Waegenaere, A.M.B.

AU - Borm, P.E.M.

N1 - Pagination: 33

PY - 1996

Y1 - 1996

N2 - 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.

AB - 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.

KW - insurance

KW - stochastic processes

KW - cooperative games

M3 - Discussion paper

VL - 1996-53

T3 - CentER Discussion Paper

BT - Stochastic Cooperative Games in Insurance and Reinsurance

PB - Operations research

CY - Tilburg

ER -

Suijs JPM, De Waegenaere AMB, Borm PEM. Stochastic Cooperative Games in Insurance and Reinsurance. Tilburg: Operations research. 1996. (CentER Discussion Paper).