Journal of the Operations Research Society of China ›› 2018, Vol. 6 ›› Issue (1): 49-57.doi: https://doi.org/10.1007/s40305-017-0173-3

Special Issue: Economy and Management Science

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Core of the Reinsurance Market with Dependent Risks

Jia-Hua Zhang1 · Shu-Cherng Fang2 · Yi-Fan Xu1   

  1. 1 School of Management, Fudan University, Shanghai 200433, China
    2 Edward P. Fitts Department of Industrial and Systems Engineering, NorthCarolina State University,Raleigh, NC 27695-7906, USA
  • Online:2018-03-30 Published:2018-03-30
  • Supported by:

    Jia-Hua Zhang’s research is supported by Fudan University Student Growth Fund Scholarship.Shu-Cherng Fang’s research is supported by US ARO Grant (No. W911NF-15-1-0223).Yi-Fan Xu’s research is supported by the National Natural Science Foundation of China (Nos. 71372113, 71531005) and Join Funding of Fudan University &Taiwan University.

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Abstract:

Baton and Lemaire (Astin Bull 12:57–71, 1981) proved the nonemptiness of the core of a reinsurance market in which the risks of companies are independent. However, cases involving dependent risks have received increasing concerns in modern actuarial science. In this paper, we investigate the nonemptiness of the core of a reinsurance market where the risks of different companies may be dependent. When the exponential utility function is employed, we find an important property on risk premium and show that the core of the market is always nonempty.

Key words: Core ·, Risk premium ·, Reinsurance market ·, Exponential utility ·Cooperative game

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