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- Publisher Website: 10.1016/j.insmatheco.2021.08.005
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Article: Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability
Title | Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability |
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Authors | |
Keywords | Competition GlueVaR Mean Conditional Value-at-Risk Multiple reinsurers Premiums Reinsurance |
Issue Date | 2021 |
Citation | Insurance: Mathematics and Economics, 2021, v. 101, p. 302-319 How to Cite? |
Abstract | This paper studies economic pricing of reinsurance contracts via competition of an insurer with multiple reinsurers. All firms are assumed to be endowed with distortion risk measures or expected exponential utilities. Reinsurance contracts are required to be Pareto optimal, individually rational, and satisfy a competition constraint that we call coalition stability. As shown in the literature, it holds that Pareto optimality is equivalent to a structure on the indemnities. This paper characterizes the corresponding premiums by a competition argument. The competition among reinsurers imposes constraints on the premiums that the reinsurers are able to charge and this may lead to a strictly positive profit for the insurer. When the firms use distortion risk measures, this constraint yields stability for subcoalitions, which is a condition akin to the core in cooperative game theory. The premiums and the profit of the insurer are derived in closed-form. This paper illustrates this premium function with the Mean Conditional Value-at-Risk and the GlueVaR. If the firms use expected exponential utilities, the premium is represented by an exponential premium. |
Persistent Identifier | http://hdl.handle.net/10722/328813 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Boonen, Tim J. | - |
dc.contributor.author | Tan, Ken Seng | - |
dc.contributor.author | Zhuang, Sheng Chao | - |
dc.date.accessioned | 2023-07-22T06:24:15Z | - |
dc.date.available | 2023-07-22T06:24:15Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2021, v. 101, p. 302-319 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/328813 | - |
dc.description.abstract | This paper studies economic pricing of reinsurance contracts via competition of an insurer with multiple reinsurers. All firms are assumed to be endowed with distortion risk measures or expected exponential utilities. Reinsurance contracts are required to be Pareto optimal, individually rational, and satisfy a competition constraint that we call coalition stability. As shown in the literature, it holds that Pareto optimality is equivalent to a structure on the indemnities. This paper characterizes the corresponding premiums by a competition argument. The competition among reinsurers imposes constraints on the premiums that the reinsurers are able to charge and this may lead to a strictly positive profit for the insurer. When the firms use distortion risk measures, this constraint yields stability for subcoalitions, which is a condition akin to the core in cooperative game theory. The premiums and the profit of the insurer are derived in closed-form. This paper illustrates this premium function with the Mean Conditional Value-at-Risk and the GlueVaR. If the firms use expected exponential utilities, the premium is represented by an exponential premium. | - |
dc.language | eng | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.subject | Competition | - |
dc.subject | GlueVaR | - |
dc.subject | Mean Conditional Value-at-Risk | - |
dc.subject | Multiple reinsurers | - |
dc.subject | Premiums | - |
dc.subject | Reinsurance | - |
dc.title | Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2021.08.005 | - |
dc.identifier.scopus | eid_2-s2.0-85113493585 | - |
dc.identifier.volume | 101 | - |
dc.identifier.spage | 302 | - |
dc.identifier.epage | 319 | - |
dc.identifier.isi | WOS:000727655900011 | - |