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Chains of Reinsurance Revisited

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  • 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
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. repec:hal:wpaper:hal-00746245 is not listed on IDEAS

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