Exchange de Risques entre Assureurs et Theorie des Jeux

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Abstract
Summary: A theorem of Borch characterizing Pareto-optimal treaties in a reinsurance market is extended to the case of non-differentiable utilities. Sufficient conditions for the existence of a solution to the equations are established. The problem is then shown to be identical to the determination of the value of a cooperative non-transferable m-person game. We show how to compute the Shapley value of this game, then we introduce a new value concept. An example illustrates both methods.

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