Stochastic cooperative games in insurance
type: Item
instance of: scholarly article
title: Stochastic cooperative games in insurance
zbMATH Open document ID: 0922.62112
DOI: 10.1016/S0167-6687(97)00038-3
author: Jeroen Suijs
author: Anja De Waegenaere
author: Peter Borm
published in: Insurance Mathematics \& Economics
publication date: 1998-12-15T00:00:00Z
review text: This is an interesting paper which considers the application of cooperative game models with stochastic payoffs to problems in non-life-(re)insurance. The model was introduced by the authors in an article on cooperative games with stochastic payoffs [Eur. J. Oper. Res. 113, No. 1, 193--205 (1999; Zbl 0972.91012)]. The model considers cooperative games allowing random variables for the gains that coalitions can make. This paper shows how this model can be used to examine problems in insurance. It incorporates insurance of personal loss as well as reinsurance of the portfolio of insurance companies. It shows that there is only one allocation risk exchange matrix yielding a Pareto optimal distribution of the losses and that a core allocation results when insurance premiums are calculated according to the zero-utility principle. Some numerical examples are also shown.
reviewed by: Giovanni Cesari
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91A12
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1202771
zbMATH Keywords: reinsurance
zbMATH Keywords: zero-utility principle
zbMATH Keywords: cooperative game theory
zbMATH Keywords: Pareto optimality
zbMATH Keywords: core
MaRDI profile type: Publication
cites work: Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory
cites work: Q4708452
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full work available at URL: s0167-6687(97)00038-3
OpenAlex ID: W1989954001
description: scientific article; zbMATH DE number 1202771