Stochastic cooperative games in insurance

DOI10.1016/S0167-6687(97)00038-3zbMath0922.62112OpenAlexW1989954001MaRDI QIDQ1265929

Anja De Waegenaere, Jeroen Suijs, P. E. M. Borm

Publication date: 15 December 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00038-3

zbMATH Keywords

Pareto optimalitycorecooperative game theoryreinsurancezero-utility principle

Mathematics Subject Classification ID

Related Items (23)

CORES OF STOCHASTIC COOPERATIVE GAMES WITH STOCHASTIC ORDERS ⋮ Excess of loss reinsurance under joint survival optimality ⋮ Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization ⋮ Pareto-optimal security strategies in matrix games with fuzzy payoffs ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ Robust reinsurance contracts with risk constraint ⋮ A fair procedure in insurance ⋮ On the Interaction between Transfer Restrictions and Crediting Strategies in Guaranteed Funds ⋮ Partially ordered cooperative games: Extended core and Shapley value ⋮ CONVEXITY IN STOCHASTIC COOPERATIVE SITUATIONS ⋮ A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts ⋮ Risk trading, network topology and banking regulation ⋮ Equilibrium Pricing of General Insurance Policies ⋮ A stochastic differential reinsurance game ⋮ Stochastic Pareto-optimal reinsurance policies ⋮ Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods ⋮ Optimal non-proportional reinsurance control and stochastic differential games ⋮ Insurance with multiple insurers: a game-theoretic approach ⋮ The equal-surplus Shapley value for chance-constrained games on finite sample spaces ⋮ Two-agent Pareto optimal cooperative investment in general semimartingale model ⋮ Stochastic cooperative games: Superadditivity, convexity, and certainty equivalents ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework ⋮ Optimal retention levels, given the joint survival of cedent and reinsurer

Cites Work

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• Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory
• The Core of an N Person Game
• Equilibrium in a Reinsurance Market

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