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.
|Place of Publication||Tilburg|
|Number of pages||33|
|Publication status||Published - 1996|
|Name||CentER Discussion Paper|
- stochastic processes
- cooperative games