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1 results

  • PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS

  • Tim J. Boonen, Ken Seng Tan, Sheng Chao Zhuang
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 46 / Issue 2 / May 2016
    Published online by Cambridge University Press:
    08 April 2016, pp. 507-530
    Print publication:
    May 2016
    • Article
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  • 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-S shaped distortion functions for the insurer and the Value-at-Risk for the reinsurer.