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Exchange de Risques entre Assureurs et Theorie des Jeux

Published online by Cambridge University Press:  29 August 2014

Jean Lemaire
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Summary

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A theorem of Borch characterizing Pareto-optimal treaties in a reinsurance market is extended to the case of non-differentiable utilities. Sufficient conditions for the existence of a solution to the equations are established. The problem is then shown to be identical to the determination of the value of a cooperative non-transferable m-person game. We show how to compute the Shapley value of this game, then we introduce a new value concept. An example illustrates both methods.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 9 , Issue 1-2 , January 1977 , pp. 155 - 180
Copyright
Copyright © International Actuarial Association 1977

References

Bibliographie

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