A game-theoretic model of reinsurance

被引：1
|
作者：
Morozov V.V.
机构：
来源：
Computational Mathematics and Modeling | 1998年 / 9卷 / 4期
关键词：
Mathematical Modeling; Computational Mathematic; Industrial Mathematic; Insurance Premium; Discount Function;
D O I：
10.1007/BF02409867
中图分类号：
学科分类号：
摘要：
We define a game between the insured and the insurer by which one can justify the choice of the discount function from the insurance premium payment as a function of the deductible. We find conditions that make it possible to conclude a contract using the deductible amount. We define a game between the insurer and the reinsurer in which the insurer chooses the loss-ratio limit and the reinsurer the price of the reinsurance policy. We seek a Stackelberg equilibrium with the reinsurer in the role of leader. ©1998 Plenum Publishing Corporation.
引用
收藏
页码：342 / 346
页数：4
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