Centro de Documentacion de Fundación MAPFRE

MAP20260001975

Asymmetric Nash insurance bargaining between risk-averse parties / Tim J. Boonen and Yichun Chi

Sumario: This paper analyzes asymmetric Nash bargaining in proportional insurance contracts between a risk-averse insured and a risk-averse insurer. It provides a necessary and sufficient condition under which the no-insurance status quo is Pareto optimal. When this condition fails, the authors derive the corresponding optimal bargaining solution. Under decreasing absolute risk aversion for both parties, and when the insurer's initial wealth decreases with the insurable risk in reversed hazard rate order, the optimal insurance coverage and premium increase with the insured's risk aversion and the insurer's bargaining power. Additionally, if the insured exhibits constant absolute risk aversion, higher insurer initial wealth leads to greater optimal coverage

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 19/01/2026 Volume 56 Issue 1 - January 2026 , p. 243 - 269

1. Contrato de seguro . 2. Economía del seguro . 3. Cálculo actuarial . 4. Reaseguro . 5. Demanda de seguros . 6. Primas de seguros . 7. Matemática del seguro . 8. Modelos matemáticos . I. Chi, Yichun . II. International Actuarial Association . III. Título.