Threshold models of mutual insurance

Game‐theoretic models of mutual insurance are considered. Here a player chooses between participating in a mutual insurance fund or not. Player’s behavior depends on its risk aversion. Using a scalar coefficient of agent’s risk aversion degree, we define utility functions leading to the threshold behavior of agents. Next, the game‐theoretic models of anonymous and non‐anonymous insurants are studied and Nash equilibrium conditions are established for both models.