Dynamic stochastic cooperative reinsurance strategy in a\\ continuous time model

Abstract

The problem of the expected utility maximization in a reinsurance market for a single period model is well understood under a general setting. This paper studies the problem in a continuous time model. For reciprocal type of reinsurance strategies and exponential utility functions, with the concept of the Pareto optimality in game theory, we obtain the characterization of the core of cooperative reinsurance games and show that the core, which contains all of the Pareto optimal cooperative reinsurance strategies, is non-empty. Examples are provided to illustrate that the core is non-empty under the given situations and the Pareto optimal cooperative reinsurance strategy is shown to be a propo..