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Exchange de Risques entre Assureurs et Theorie des Jeux

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  • Lemaire, Jean

Abstract

A theorem of Borch characterizing Pareto-optimal treaties in a reinsurance market is extended to the case of non-differentiable utilities. Sufficient conditions for the existence of a solution to the equations are established. The problem is then shown to be identical to the determination of the value of a cooperative non-transferable m-person game. We show how to compute the Shapley value of this game, then we introduce a new value concept. An example illustrates both methods.

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  • Lemaire, Jean, 1977. "Exchange de Risques entre Assureurs et Theorie des Jeux," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 155-180, January.
    • Handle: RePEc:cup:astinb:v:9:y:1977:i:1-2:p:155-180_01
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    Cited by:

    1. Burgert, Christian & Rüschendorf, Ludger, 2008. "Allocation of risks and equilibrium in markets with finitely many traders," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 177-188, February.
    2. Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.

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