Fairness principles for insurance contracts in the presence of default risk
Mathematical Finance
2020-09-10 v1
Abstract
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. 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.
Keywords
Cite
@article{arxiv.2009.04408,
title = {Fairness principles for insurance contracts in the presence of default risk},
author = {Delia Coculescu and Freddy Delbaen},
journal= {arXiv preprint arXiv:2009.04408},
year = {2020}
}
Comments
25 pages