Chains of reinsurance: Non-cooperative equilibria and Pareto optimality (Q1078964)

This paper extends \textit{H. U. Gerber}'s paper ibid. 3, 43-48 (1984; Zbl 0532.62083). It proposes new non-cooperative equilibrium concepts which allow the quota of the first link in a chain of reinsurance to be higher than 50 \% of the original risk when the risk aversion is the same for all companies. These equilibrium concepts are of the Cournot type, i.e., each company acts as a follower, taking the relevant loadings as constants. This paper also compares the Pareto optimal and the different equilibrium transfers of risk between reinsurers.