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 ...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.展开更多
基金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)Join Funding of Fudan University&Taiwan University.
文摘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.
