Toward a theory of reinsurance and retrocession. (English) Zbl 1001.91054
This paper develops a formal game-theoretic model to examine the potential value of adding a reinsurance structure to the insurance industry and considers the possibility of an optimal number of reinsurance/retrocession levels in its design.
Reviewer: Elias Shiu (Iowa City)
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 91A80 | Applications of game theory |
References:
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