This paper introduces "co-opetition" (combining competition and cooperation) to reinsurance risk-sharing. A two-layer game-theoretic framework models insurer-reinsurer contracting and price competition (Stackelberg-Nash), followed by collaborative risk-sharing. The model, using mean-variance preferences, yields explicit equilibrium results, demonstrating the feasibility of analyzing complex reinsurance market dynamics. Future research could explore different preferences, premium principles, and market structures.
"In the current market practice, many #cyberinsurance products offer a coverage bundle for losses arising from various types of incidents, such as #databreaches and #ransomwareattacks, and the coverage for each incident type comes with a separate limit and deductible. Although this gives prospective cyber insurance buyers more flexibility in customizing the coverage and better manages the #risk exposures of sellers, it complicates the decision-making process in determining the optimal amount of risks to retain and transfer for both parties. This paper aims to build an economic foundation for these incident-specific cyber insurance products with a focus on how incident-specific indemnities should be designed for achieving #pareto optimality for both the #insurance seller and buyer. Real data on #cyberincidents is used to illustrate the feasibility of this approach. Several implementation improvement methods for practicality are also discussed."
"#risksharing is one way to pool risks without the need for a #thirdparty. To ensure the attractiveness of such a system, the rule should be accepted and understood by all participants. A desirable risk-sharing rule should fulfill #actuarial fairness and #pareto optimality while being easy to compute. This paper establishes a one-to-one correspondence between an actuarially fair #paretooptimal (AFPO) risk-sharing rule and a fixed point of a specific function."
"... we examine the relationship between Bowley optimality and Pareto efficiency in a problem of optimal reinsurance, under fairly general preferences."