The Reinsurer's Monopoly and the Bowley Solution
The Reinsurer's Monopoly and the Bowley Solution
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DOI：
10.2143/ast.15.2.2015025
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发表时间：
1985-11
期刊：
影响因子：
--
通讯作者：
F. Chan;H. Gerber
中科院分区：
文献类型：
--
作者：
F. Chan;H. Gerber
摘要再保险人在以下意义上具有垄断性：他将选择一个随机变量P来确定再保险费。第一个保险人可以购买R（一个随机变量）的付款，保费为π = E[PR]。对于已知的P，第一个保险人选择R来最大化他的期望效用。知道这一点，即，再保险需求是P的函数，再保险人选择P使其效用最大化。结果对（P，R）被称为Bowley解。假设指数，二次和/或线性效用函数，得到一些明确的结果。
Abstract The reinsurer has a monopoly in the following sense: He will select a random variable P that determines the reinsurance premiums. The first insurer can purchase a payment of R (a random variable) for a premium of π = E[PR]. For known P, the first insurer chooses R to maximize his expected utility. Knowing this, i.e., the demand for reinsurance as a function of P, the reinsurer chooses P to maximize his utility. The resulting pair (P, R) is called the Bowley solution. Assuming exponential, quadratic and/or linear utility functions, some explicit results are obtained.