Fairness principles for insurance contracts in the presence of default risk

DOI10.1111/mafi.12344zbMath1525.91152arXiv2009.04408OpenAlexW3121218547MaRDI QIDQ6054422

Freddy Delbaen, Delia Coculescu

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.04408

zbMATH Keywords

cooperative gamescoherent risk measuressurplus sharingcommonotonicitypricing in insurance

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of game theory (91A80) Actuarial mathematics (91G05)

Cites Work

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• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Equilibrium in a Reinsurance Market

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