Fairness principles for insurance contracts in the presence of default risk
运用合作博弈理论设计公平保险合同，当合同面临保险公司违约风险时，需在合同中规定对公司收益的参与份额，该份额由包含违约残余风险的模糊联盟博弈决定。
Abstract We use the theory of cooperative games for the design of fair insurance contracts. An insurance contract needs to specify the premium to be paid and a possible participation in the benefit (or surplus) of the company. We suppose that a convex commonotonic premium functional is used to value the aggregated liability of the insurance company. It results from the analysis that when a contract is exposed to the default risk of the insurance company, ex‐ante equilibrium considerations require a certain participation in the benefit of the company to be specified in the contracts. The fair benefit participation of agents appears as an outcome of a game involving the residual risks induced by the default possibility and using fuzzy coalitions.