Optimal risk sharing as a cooperative game

DOI10.4064/AM38-2-7MaRDI QIDQ5392136zbMATHOpenAlexFDO

Authors Łukasz Kuciński

Publication date 7 April 2011

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am38-2-7

zbMATH Keywords

utilitycorePareto optimality

Mathematics Subject Classification ID

Decision theory (91B06) Cooperative games (91A12) Applications of game theory (91A80) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Utility theory for games (91A30)

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Cited in

(21)

• Cooperative Hedging in Incomplete Markets
• On sharing of risk and resources
• Insurance with multiple insurers: a game-theoretic approach
• Stable coalitions in a continuous-time model of risk sharing
• scientific article; zbMATH DE number 1989746 (Why is no real title available?)
• scientific article; zbMATH DE number 6746069 (Why is no real title available?)
• Fairness principles for insurance contracts in the presence of default risk
• Insuring Risk-Averse Agents
• Dynamic stochastic cooperative reinsurance strategy in a continuous time model
• Cooperative games with general deviation measures
• Two-agent Pareto optimal cooperative investment in general semimartingale model
• Multivariate risk sharing and the derivation of individually rational Pareto optima
• Threshold models for reciprocal insurances
• Risk management: mechanisms of mutual and endowment insurance
• On optimal partitions, individual values and cooperative games: does a wiser agent always produce a higher value?
• Coalitions, incentives, and risk sharing
• Pool size and the sustainability of optimal risk-sharing agreements
• Possibilistic risk aversion and coinsurance problem
• Optimal risk-sharing under mutually singular beliefs
• Pooling risk games
• Optimal strategies in a game of economic survival

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