Chains of Reinsurance: Non-Cooperative Equilibria and Pareto Optimality
(1985) , 18 pages
Files
WP-8504.pdf
Open Access - Adobe PDF
- 524.97 KB
Details
- Authors
- Abstract
- The purpose of this paper is to extend Gerber's seminal paper on chains of reinsurance in three directions: (i) to throw some light on the rationale of finite chains under the Stackelberg equilibria introduced by Gerber, (ii) to propose new non-cooperative equilibrium concepts, of the Cournot type, which allow the first reinsured to transfer more than 50 percent of its risk if the risk aversion is the same for all companies, and (iii) to compare the Pareto optimal and the different equilibrium transfers of risk between reinsures.
- Affiliations
Citations
d’Ursel, L., & Lauwers, M. (1985). Chains of Reinsurance: Non-Cooperative Equilibria and Pareto Optimality (Working Papers Institut des sciences économiques 8504). https://hdl.handle.net/2078.5/280831