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Document Details : Title: Pareto-optimal Contract in an Insurance Market Author(s): GOLUBIN, A.Y. Journal: ASTIN Bulletin Volume: 35 Issue: 2 Date: November 2005 Pages: 363-378 DOI: 10.2143/AST.35.2.2003458 Abstract : In distinction to the Borch’s model of a reinsurance market, this paper treats the problem of optimal risk exchange in an insurance market where treaties are allowed between the insurer and each insured only,not among insureds themselves. A characterization of the Pareto-optimal contract is found.It is shown that the indemnity function in the contract is of a coinsurance kind. We also present a way of finding Pareto-optimal contracts under individual rationality constraints. The obtained results are compared with those of the known model of risk exchange in a reinsurance market. |
