Proceedings of the Korean Operations and Management Science Society Conference (한국경영과학회:학술대회논문집)
- 1992.04b
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- Pages.403-412
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- 1992
A study on the nash equilibrium of the price of insurance
Abstract
This note examines a situation where a risk-neutral insurer and a risk-averse individual (prospective insured) negotiate to reach an arbitration point of the price of insurance over the terms of an insurance contract in order to maximize their respective self-interests. The situation is modeled as a Nash bargaining problem. We analyze the dependence of the price of insurance, which is determined by the Nash solution, on the parameters such as the size of insured loss, the probability of a loss, the degree of risk-aversion of the insured, and the riskiness of loss distribution.
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