On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

DOI10.1016/J.INSMATHECO.2018.12.004zbMath1419.91372OpenAlexW2907768954MaRDI QIDQ1735045

Wenjun Jiang, Hanping Hong, Chen Yang, Jiandong Ren

Publication date: 28 March 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.12.004

zbMATH Keywords

expected utilitycooperative gameNash bargaining solutionheterogeneous beliefsKalai-Smorodinsky bargaining solutionPareto-optimal reinsurance

Mathematics Subject Classification ID

Cooperative games (91A12) 2-person games (91A05) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (16)

Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Optimal insurance to maximize RDEU under a distortion-deviation premium principle ⋮ Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ The effect of risk constraints on the optimal insurance policy ⋮ Optimal insurance design under mean-variance preference with narrow framing ⋮ Insurance pricing in an equilibrium model ⋮ Pareto-optimal reinsurance under individual risk constraints ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ Robust reinsurance contracts with risk constraint ⋮ A Bowley solution with limited ceded risk for a monopolistic reinsurer ⋮ Optimal insurance with belief heterogeneity and incentive compatibility ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework

Cites Work

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• Equilibrium in a Reinsurance Market
• Two-Person Cooperative Games
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