IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v16y1986i02p77-88_00.html
   My bibliography  Save this article

Chains of Reinsurance Revisited

Author

Listed:
  • Lemaire, Jean
  • Quairiere, Jean-Pierre

Abstract

Chains of reinsurance were first modelled by Gerber, in a special case. It is shown that more general results can be obtained by applying Borch's theorem. The Pareto-optimal reinsurance indemnities are uniquely determined using the only assumption that the participating companies use exponential utility functions. A simple comparison then shows that Gerber's indemnities are not Pareto-optimal. Even if no assumption at all is introduced, the indemnities are shown to be closely linked to the risk aversions of the participants.

Suggested Citation

  • Lemaire, Jean & Quairiere, Jean-Pierre, 1986. "Chains of Reinsurance Revisited," ASTIN Bulletin, Cambridge University Press, vol. 16(2), pages 77-88, November.
    • Handle: RePEc:cup:astinb:v:16:y:1986:i:02:p:77-88_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100005444/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Lv & Shen, Yang & Su, Jianxi, 2020. "A continuous-time theory of reinsurance chains," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 129-146.
    2. Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 231(3), pages 702-711.
    3. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
    4. repec:hal:wpaper:hal-00746245 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:16:y:1986:i:02:p:77-88_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.