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Subgame perfect Nash equilibria in large reinsurance markets

Author

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  • Andraos, Maria
  • Ghossoub, Mario
  • Zhu, Michael B.

Abstract

We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework and extension of the recent literature on optimality and equilibria in reinsurance markets. Each insurer has preferences represented by a general Choquet risk measure and can purchase coverage from any or all reinsurers. Each reinsurer has preferences represented by a general Choquet risk measure and can provide coverage to any or all insurers. Pricing in this market is done via a nonlinear pricing rule given by a Choquet integral. We model the market as a sequential game in which the reinsurers have the first-move advantage. We characterize the Subgame Perfect Nash Equilibria in this market in some cases of interest, and we examine their Pareto efficiency. In addition, we consider two special cases of our model that correspond to existing models in the related literature, and we show how our findings extend these previous results. Finally, we illustrate our results in a numerical example.

Suggested Citation

  • Andraos, Maria & Ghossoub, Mario & Zhu, Michael B., 2026. "Subgame perfect Nash equilibria in large reinsurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 127(C).
    • Handle: RePEc:eee:insuma:v:127:y:2026:i:c:s0167668725001568
    DOI: 10.1016/j.insmatheco.2025.103210
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    Cited by:

    1. Maria Andraos & Mario Ghossoub & Bin Li & Benxuan Shi, 2026. "Stackelberg Equilibria in Monopoly Insurance Markets with Probability Weighting," Papers 2602.16401, arXiv.org, revised May 2026.

    More about this item

    Keywords

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    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C79 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Other
    • D86 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Economics of Contract Law
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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