Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Fairness principles for insurance contracts in the presence of default risk |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Mathematical Finance |
| Publisher | Wiley-Blackwell Publishing, Inc. |
| Geographical Reach | international |
| ISSN | 0960-1627 |
| Volume | 32 |
| Number | 2 |
| Page Range | 595 - 626 |
| Date | 2022 |
| Abstract Text | We use the theory of cooperative games for the design of fair insurance contracts. An insurance contract needs to specify the premium to be paid and a possible participation in the benefit (or surplus) of the company. We suppose a convex commonotonic premium functional is used to value the aggregated liability of the insurance company. It results from the analysis that when a contract is exposed to the default risk of the insurance company, ex-ante equilibrium considerations require a certain participation in the benefit of the company to be specified in the contracts. The fair benefit participation of agents appears as an outcome of a game involving the residual risks induced by the default possibility and using fuzzy coalitions. |
| Free access at | DOI |
| Related URLs | |
| Digital Object Identifier | 10.1111/mafi.12344 |
| Other Identification Number | merlin-id:21957 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|