Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model

被引：0

作者：

Denuit, Michel ^{[1
]}

Robert, Christian Y. ^{[2
]}

机构：

[1] UCLouvain, Louvain Inst Data Anal & Modeling LIDAM, Inst Stat Biostat & Actuarial Sci ISBA, Louvain La Neuve, Belgium

[2] Ctr Res Econ & Stat, Lab Finance & Insurance LFA, CREST, ENSAE, Paris, France

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2023年 / 112卷

关键词：

Risk pooling; Conditional mean risk sharing; Ruin probability; Mutual exclusivity; RUIN PROBABILITIES;

D O I：

10.1016/j.insmatheco.2023.05.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a new risk-sharing procedure, framed into the classical insurance surplus process. Compared to the standard setting where total losses are shared at the end of the period, losses are allocated among participants at their occurrence time in the proposed model. The conditional mean risksharing rule proposed by Denuit and Dhaene (2012) is applied to this end. The analysis adopts two different points of views: a collective one for the pool and an individual one for sharing losses and adjusting the amounts of contributions among participants. These two views are compatible under the compound Poisson risk process. Guarantees can also be added by partnering with an insurer.& COPY; 2023 Elsevier B.V. All rights reserved.

引用

页码：23 / 32

页数：10

共 50 条

[1] Conditional Mean Risk Sharing of Independent Discrete Losses in Large Pools
Denuit, Michel
Robert, Christian Y.
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2024, 26 (04)
[2] From risk reduction to risk elimination by conditional mean risk sharing of independent losses
Denuit, Michel
Robert, Christian Y.
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2023, 108 : 46 - 59
[3] Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses
Michel Denuit
Christian Y. Robert
[J]. Methodology and Computing in Applied Probability, 2022, 24 : 1953 - 1985
[4] Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses
Denuit, Michel
Robert, Christian Y.
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (03) : 1953 - 1985
[5] Conditional mean risk sharing in the individual model with graphical dependencies
Denuit, Michel
Robert, Christian Y.
[J]. ANNALS OF ACTUARIAL SCIENCE, 2022, 16 (01) : 183 - 209
[6] Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses
Michel Denuit
Christian Y. Robert
[J]. Methodology and Computing in Applied Probability, 2022, 24 : 693 - 711
[7] Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses
Denuit, Michel
Robert, Christian Y.
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (02) : 693 - 711
[8] Convex order and comonotonic conditional mean risk sharing
Denuit, Michel
Dhaene, Jan
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (02): : 265 - 270
[9] ANALYSIS OF THE COMPOUND POISSON SURPLUS MODEL WITH LIQUID RESERVES, INTEREST AND DIVIDENDS
Cai, Jun
Feng, Runhuan
Willmot, Gordon E.
[J]. ASTIN BULLETIN, 2009, 39 (01): : 225 - 247
[10] Duration of Negative Surplus for the Compound Poisson-Geometric Risk Model under Constant Interest Force
Lv, Dongdong
Zhao, Mingqing
Wang, Mengxia
[J]. INTERNATIONAL JOINT CONFERENCE ON APPLIED MATHEMATICS, STATISTICS AND PUBLIC ADMINISTRATION (AMSPA 2014), 2014, : 197 - 205

← 1 2 3 4 5 →