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On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

Wenjun Jiang, Jiandong Ren, Chen Yang and Hanping Hong

Insurance: Mathematics and Economics, 2019, vol. 85, issue C, 173-184

Abstract: In this paper, we study the optimal reinsurance policies as the result of a two-person cooperative game. We assume that both the insurer and the reinsurer are risk averse and expected-utility maximizers. In addition, we assume that they “agree to disagree” on the distribution of the underlying losses in the contract negotiation.

Keywords: Cooperative game; Heterogeneous beliefs; Expected utility; Pareto-optimal reinsurance; Nash bargaining solution; Kalai–Smorodinsky bargaining solution (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:85:y:2019:i:c:p:173-184

DOI: 10.1016/j.insmatheco.2018.12.004

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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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