Optimal risk sharing as a cooperative game

• Autorzy: Łukasz Kuciński
• Języki publikacji: EN

Abstrakty

EN

The problem of choosing an optimal insurance policy for an individual has recently been better understood, particularly due to the papers by Gajek and Zagrodny. In this paper we study its multi-agent version: we assume that insureds cooperate with one another to maximize their utility function. They create coalitions by bringing their risks to the pool and purchasing a common insurance contract. The resulting outcome is divided according to a certain rule called strategy. We address the fundamental questions of profitability of cooperation and existence of strategies not rejected by any of the coalitions. These issues are closely related to the notion of Pareto optimality and the core of a game. We give a characterization of the former and prove the nonemptiness of the latter. Moreover, assuming that the pricing rule used by the insurance company is linear, we formulate necessary and sufficient conditions for the profitability of cooperation.

Kategorie tematyczne

• 91A80: Applications of game theory
• 91A30: Utility theory for games
• 91A12: Cooperative games
• 91B06: Decision theory
• 91B32: Resource and cost allocation
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2011
• Tom: 38
• Numer: 2
• Strony: 219-242

Daty

wydano

2011

Twórcy

autor

Łukasz Kuciński

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland
• Polish Financial Supervision Authority, Plac Powstańców Warszawy 1, 00-950 Warszawa, Poland

Identyfikatory

DOI

10.4064/am38-2-7