Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability

This paper studies economic pricing of reinsurance contracts via competition an insurer with multiple reinsurers. All firms are assumed to be endowed distortion risk measures or expected exponential utilities. Reinsurance required Pareto optimal, individually rational, and satisfy a constraint that we call coalition stability. As shown in the literature, it holds optimality is equivalent structure on indemnities. characterizes corresponding premiums by argument. The among reinsurers imposes constraints able charge this may lead strictly positive profit for insurer. When use measures, yields stability subcoalitions, which condition akin core cooperative game theory. derived closed-form. illustrates premium function Mean Conditional Value-at-Risk GlueVaR. If utilities, represented premium.