Chains of reinsurance: Non-cooperative equilibria and Pareto optimality
type: Item
instance of: scholarly article
title: Chains of reinsurance: Non-cooperative equilibria and Pareto optimality
zbMATH Open document ID: 0596.62109
DOI: 10.1016/0167-6687(85)90040-X
published in: Insurance Mathematics \& Economics
publication date: 1985-01-01T00:00:00Z
review text: This paper extends \textit{H. U. Gerber}'s paper ibid. 3, 43-48 (1984; Zbl 0532.62083). It proposes new non-cooperative equilibrium concepts which allow the quota of the first link in a chain of reinsurance to be higher than 50 \% of the original risk when the risk aversion is the same for all companies. These equilibrium concepts are of the Cournot type, i.e., each company acts as a follower, taking the relevant loadings as constants. This paper also compares the Pareto optimal and the different equilibrium transfers of risk between reinsurers.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 3960841
zbMATH Keywords: non-cooperative equilibrium concepts
zbMATH Keywords: chain of reinsurance
zbMATH Keywords: risk aversion
zbMATH Keywords: Pareto optimal
zbMATH Keywords: equilibrium transfers of risk
author: Laurent d'Ursel
author: Marc Lauwers
reviewed by: E. S. W. Shiu
MaRDI profile type: Publication
cites work: Q5734851
cites work: Chains of reinsurance
full work available at URL: 0167-6687(85)90040-x
OpenAlex ID: W2080966938
Wikidata QID: Q127554494
description: scientific article; zbMATH DE number 3960841