Game Analysis of Optimal Proportional Reinsurance under Complete Information

摘要

When a reinsurance policy is signed,there is a conflict of interest between the original insurer and re-insurer to deal with,which is expressed in the choice of a mutually acceptable price for the policy.We define a game between the original insurer and re-insurer by means of which insurer can make a justified choice of the rate of reinsurance and the re-insurer choose the premium of reinsurance.We analyze and solve the game to determine the optimal proportional reinsurance under complete information.