Centro de Documentacion de Fundación MAPFRE - Pricing in reinsurance bargaining with comonotonic additive utility functions

MAP20160024241

Pricing in reinsurance bargaining with comonotonic additive utility functions / Tim J. Boonen, Ken Seng Tan, Sheng Chao Zhuang

Sumario: Optimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore, the key objective of this paper is to analyze the price of reinsurance contracts. It is used a novel way to model the bargaining powers of the insurer and reinsurer, which allows to generalize the contracts according to the Nash bargaining solution, indifference pricing and the equilibrium contracts. Pricing functions are illustrated by means of inverse-S shaped distortion functions for the insurer and the Value-at-Risk for the reinsurer

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 507-530

I. Tan, Ken Seng . II. Zhuang, Sheng Chao . III. Title.