On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
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DOI: 10.1016/j.insmatheco.2018.12.004
Abstract: Abstract In this paper, we study the optimal reinsurance policies as the result of a two-person cooperative game. We assume that both the insurer and the reinsurer are risk averse and expected-utility maximizers. In addition,… read more here.
Keywords: reinsurance; optimal reinsurance; cooperative game; reinsurance treaties ... See more keywords