Nash equilibria in optimal reinsurance bargaining

DOI10.1016/J.INSMATHECO.2020.05.001zbMATH Open1446.91054arXiv1909.01739OpenAlexW3024868260MaRDI QIDQ784435FDOQ784435

Authors: Michail Anthropelos, Tim J. Boonen 

Publication date: 3 August 2020

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

Abstract: We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a range of risk aversion coefficients. It is shown that at the strictly beneficial Nash equilibria, agents appear homogeneous with respect to their risk preferences. While the game does not cause any loss of total welfare gain, its allocation between agents is heavily affected by the agents' strategic behavior. This allocation is reflected in the reinsurance premium, while the insurance indemnity remains the same in all strictly beneficial Nash equilibria. Furthermore, the effect of agents' bargaining power vanishes through the game procedure and the agent who gets more welfare gain is the one who has an advantage in choosing the common risk aversion at the equilibrium.

Full work available at URL: https://arxiv.org/abs/1909.01739

Recommendations

• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
• Nash equilibrium in competitive insurance
• Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
• A game-theoretic model of reinsurance
• Equilibria in a proportional reinsurance market
• On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
• scientific article; zbMATH DE number 5251923
• A game theoretic model for a reinsurance market
• Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
• Optimal insurance in the presence of reinsurance

zbMATH Keywords

Nash equilibriumoptimal reinsurance contractNash bargainingrisk-sharing gamesstrategically chosen risk aversion

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of game theory (91A80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Title not available (Why is that?)
• The bargaining problem
• Nonsymmetric Nash solutions and replications of 2-person bargaining
• Axiomatic characterization of insurance prices
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Integral Representation Without Additivity
• Optimal insurance under Wang's premium principle.
• Marginal indemnification function formulation for optimal reinsurance
• Risk Measures and Comonotonicity: A Review
• The Nash bargaining solution is optimal
• Optimal reinsurance and stop-loss order
• Non-cooperative support for the asymmetric Nash bargaining solution
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
• On the Interpretation of the Nash Bargaining Solution and Its Extension to Non-Expected Utility Preferences
• Insurance with multiple insurers: a game-theoretic approach
• Pareto-optimal reinsurance arrangements under general model settings
• PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
• The effect of market power on risk-sharing
• Pareto-optimal reinsurance policies in the presence of individual risk constraints
• Equilibrium in risk-sharing games
• Risk-adjusted bowley reinsurance under distorted probabilities
• On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
• Effective risk aversion in thin risk‐sharing markets

Cited In (14)

• Bowley reinsurance with asymmetric information on the insurer's risk preferences
• PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
• Bowley reinsurance with asymmetric information: a first-best solution
• Title not available (Why is that?)
• Optimal reinsurance design with distortion risk measures and asymmetric information
• Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
• Construction of a negotiation set for competitive interaction between two insurance companies
• A dynamic pricing game for general insurance market
• Bowley solution under the reinsurer's default risk
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
• Bowley vs. Pareto optima in reinsurance contracting
• Optimal premium pricing in a competitive stochastic insurance market with incomplete information: a Bayesian game-theoretic approach
• Optimal insurance design under asymmetric Nash bargaining
• On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

This page was built for publication: Nash equilibria in optimal reinsurance bargaining

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q784435)