Investigators at University of Waterloo Describe Findings in Actuarial Science (Pricing In Reinsurance Bargaining With Comonotonic Additive Utility…

Investigators at University of Waterloo Describe Findings in Actuarial Science (Pricing In Reinsurance Bargaining With Comonotonic Additive Utility Functions)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Research findings on Actuarial Science are discussed in a new report. According to news reporting from Waterloo, Canada, by VerticalNews journalists, research stated, "Optimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored."

The news correspondents obtained a quote from the research from the University of Waterloo, "Therefore, the key objective of this paper is to analyze the price of reinsurance contracts. We use a novel way to model the bargaining powers of the insurer and reinsurer, which allows us to generalize the contracts according to the Nash bargaining solution, indifference pricing and the equilibrium contracts."

According to the news reporters, the research concluded: "We illustrate these pricing functions by means of inverse-S shaped distortion functions for the insurer and the Value-at-Risk for the reinsurer."

For more information on this research see: Pricing In Reinsurance Bargaining With Comonotonic Additive Utility Functions. Astin Bulletin, 2016;46(2):507-530. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

Our news journalists report that additional information may be obtained by contacting T.J. Boonen, University of Waterloo, Dept. of Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada. Additional authors for this research include K.S. Tan and S.C. Zhuang.

Keywords for this news article include: Waterloo, Ontario, Canada, North and Central America, Actuarial Science, University of Waterloo.

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