Stochastic cooperative games in insurance
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.
scientific article; zbMATH DE number 1202771