Bellman systems corresponding to stochastic differential games arising from a cost functional which models risk aspects are considered. Here it leads to diagonal elliptic systems without zero order term so that no simple -estimate is available.
The problem of choosing an optimal insurance policy for an individual has recently been better understood, particularly due to the papers by Gajek and Zagrodny. In this paper we study its multi-agent version: we assume that insureds cooperate with one another to maximize their utility function. They create coalitions by bringing their risks to the pool and purchasing a common insurance contract. The resulting outcome is divided according to a certain rule called strategy. We address the fundamental...