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Reinsurance as a Cooperative Game

  • Jean Lemaire

Abstract

We define axiomatically a concept of value for games without transferable utilities, without introducing the usual symmetry axiom. The model, a generalization of a previous paper extending Nash’s bargaining problem, attempts to take into account the affinities between the players, defined by an a priori set of “distances”. This new value concept in then applied to compute the value of a reinsurance model. It is shown that the exchange of risks between insurance companies can be formulated as a n-person cooperative game without transferable utilities. The determination of an “optimal reinsurance treaty” is then shown to coincide with the computation of the value of the corresponding game. A complete example is given.

Keywords

Cooperative Game Grand Coalition Side Payment Transferable Utility Exponential Utility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer-Verlag Berlin Heidelberg 1979

Authors and Affiliations

  • Jean Lemaire
    • 1
  1. 1.Campus de la plaine, Institut de StatistiqueUniversité Libre de BruxellesBruxellesFrance

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