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On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

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  • Jiang, Wenjun
  • Ren, Jiandong
  • Yang, Chen
  • Hong, Hanping

Abstract

In this paper, we study the optimal reinsurance policies as the result of a two-person cooperative game. We assume that both the insurer and the reinsurer are risk averse and expected-utility maximizers. In addition, we assume that they “agree to disagree” on the distribution of the underlying losses in the contract negotiation.

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  • Jiang, Wenjun & Ren, Jiandong & Yang, Chen & Hong, Hanping, 2019. "On optimal reinsurance treaties in cooperative game under heterogeneous beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 173-184.
    • Handle: RePEc:eee:insuma:v:85:y:2019:i:c:p:173-184
    DOI: 10.1016/j.insmatheco.2018.12.004
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    Cited by:

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    4. Zongxia Liang & Xiaodong Luo, 2024. "Stackelberg reinsurance and premium decisions with MV criterion and irreversibility," Papers 2402.11580, arXiv.org.
    5. Cai, Jun & Liu, Fangda & Yin, Mingren, 2024. "Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance," European Journal of Operational Research, Elsevier, vol. 318(1), pages 310-326.
    6. Liang, Xiaoqing & Jiang, Wenjun & Zhang, Yiying, 2023. "Optimal insurance design under mean-variance preference with narrow framing," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 59-79.
    7. Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao, 2020. "A Bowley solution with limited ceded risk for a monopolistic reinsurer," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 188-201.
    8. Boonen, Tim J. & Jiang, Wenjun, 2024. "Robust insurance design with distortion risk measures," European Journal of Operational Research, Elsevier, vol. 316(2), pages 694-706.
    9. Ghossoub, Mario & Jiang, Wenjun & Ren, Jiandong, 2022. "Pareto-optimal reinsurance under individual risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 307-325.

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