NDLI: PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS

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PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS

Content Provider	Scilit
Author	Boonen, Tim J. Tan, Ken Seng Zhuang, Sheng Chao
Copyright Year	2016
Description	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. We use a novel way to model the bargaining powers of the insurer and reinsurer, which allows us to generalize the contracts according to the Nash bargaining solution, indifference pricing and the equilibrium contracts. We illustrate these pricing functions by means of inverse-Sshaped distortion functions for the insurer and the Value-at-Risk for the reinsurer.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/1C95D587F217F1177EF6D0615AA86F4E/S0515036116000088a.pdf/div-class-title-pricing-in-reinsurance-bargaining-with-comonotonic-additive-utility-functions-div.pdf
Ending Page	530
Page Count	24
Starting Page	507
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/asb.2016.8
Journal	ASTIN Bulletin
Issue Number	2
Volume Number	46
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2016-04-08
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Cybernetical Science Reinsurance Bargaining Comonotonic Additivity s Shaped Distortion Function
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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