De Waegenaere, Anja; Borm, Peter; Suijs, J.P.M. - Tilburg University, Center for Economic Research - 1996
This paper shows how problems in `non life'-insurance and `non life'-reinsurance can be modelled simultaneously as cooperative games with stochastic payoffs.Pareto optimal allocations of the risks faced by the insurers and the insureds are determined.It is shown that the core of the...