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Pricing in reinsurance bargaining with comonotonic additive utility functions

Recurso electrónico / Electronic resource
Registro MARC
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001  MAP20160024241
003  MAP
005  20160809150245.0
008  160808e20150502usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20210031915‎$a‎Boonen, Tim J
24510‎$a‎Pricing in reinsurance bargaining with comonotonic additive utility functions‎$c‎Tim J. Boonen, Ken Seng Tan, Sheng Chao Zhuang
520  ‎$a‎Optimal 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
7001 ‎$0‎MAPA20160009729‎$a‎Tan, Ken Seng
7001 ‎$0‎MAPA20160009958‎$a‎Zhuang, Sheng Chao
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 507-530