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On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

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  • Jiang, Wenjun
  • Ren, Jiandong
  • Yang, Chen
  • Hong, Hanping

Abstract

In this paper, we study the optimal reinsurance policies as the result of a two-person cooperative game. We assume that both the insurer and the reinsurer are risk averse and expected-utility maximizers. In addition, we assume that they “agree to disagree” on the distribution of the underlying losses in the contract negotiation.

Suggested Citation

  • Jiang, Wenjun & Ren, Jiandong & Yang, Chen & Hong, Hanping, 2019. "On optimal reinsurance treaties in cooperative game under heterogeneous beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 173-184.
    • Handle: RePEc:eee:insuma:v:85:y:2019:i:c:p:173-184
    DOI: 10.1016/j.insmatheco.2018.12.004
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    Cited by:

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    3. Jiang, Wenjun & Hong, Hanping & Ren, Jiandong, 2021. "Pareto-optimal reinsurance policies with maximal synergy," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 185-198.
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    6. Ghossoub, Mario & Jiang, Wenjun & Ren, Jiandong, 2022. "Pareto-optimal reinsurance under individual risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 307-325.

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