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Stochastic cooperative games in insurance and reinsurance

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Author Info
Suijs, J.
Waegenaere, A. de
Borm, P. (Tilburg University, Center for Economic Research)

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Abstract

This paper shows how problems in `non life'-insurance and `non life'-reinsurance can be modelled simultaneously as cooperative games with stochastic payoffs. Pareto optimal allocations of the risks faced by the insurers and the insureds are determined. It is shown that the core of the corresponding insurance games is nonempty. Moreover, it is shown that specific core allocations are obtained when the zero utility principle is used for calculating premiums. Finally, game theory is used to give a justification for subadditive premiums.

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Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 53.

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Date of creation: 1996
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Handle: RePEc:dgr:kubcen:199653

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  1. Alegre, Antoni & Claramunt, M. Merce, 1995. "Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory," Insurance: Mathematics and Economics, Elsevier, vol. 17(1), pages 19-34, August. [Downloadable!] (restricted)
  2. Herbert E. Scarf, 1965. "The Core of an N Person Game," Cowles Foundation Discussion Papers 182R, Cowles Foundation, Yale University. [Downloadable!]
  3. Sujis, J. & Borm, P. & De Waegenaere, A. & Tijs, S., 1995. "Cooperative Games with Stochastic Payoffs," Papers 9588, Tilburg - Center for Economic Research.
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  4. Suijs, J. & Borm, P., 1996. "Cooperative games with stochastic payoffs : deterministic equivalents," Research Memorandum 713, Tilburg University, Faculty of Economics and Business Administration. [Downloadable!]
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