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- W2309784565 abstract "The reinsurance problem appears at first sight to be a problem that can be analyzed in terms of classical economic theory if the objectives of the companies are formulated in an operational manner by means of Bernoulli’s utility concept: one should not maximize the expected gain, but the expected utility of the gain [3]. However, closer investigations show that the economic theory is only relevant part of the way. Then the problem becomes a problem of cooperation between parties that have conflicting interests, and that are free to form and break any coalitions which may serve their particular interests [14]. Classical economic theory is powerless when it comes to analyze such problems. The only theory which at present seems to hold some promise of being able to sort out and explain this apparently chaotic situation, is Game Theory. The concept of core of a game was introduced in 1959 by Gillies [12]. It provides a very attractive solution, if any, of a general game. However, it has the unpleasant property of being empty for a large class of games. The concept of the core of a market game has proved very useful in economic applications of game theory because it is nonempty. This fact was proved by Debreu and Scarf [9] in 1963. Later, in 1981, Baton and Lemaire [4] introduced the collective rationality condition and characterized the core for important special cases of negative exponential utility functions. These types of utility functions are characterized by a constant risk aversion and possess very desirable properties, proved by Gerber [10] in 1974. In the following we present a brief game-theoretic approach to risk allocation problem. Let N = {1,2,...,n} be a finite set of agents and let S an arbitrary subset of N. The characteristic function v : 2 N ! R of the game gives the" @default.
- W2309784565 created "2016-06-24" @default.
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- W2309784565 date "2008-01-01" @default.
- W2309784565 modified "2023-09-23" @default.
- W2309784565 title "THE CORE OF A REINSURANCE MARKET" @default.
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