Risk-sharing rules and their properties, with applications to peer-to-peer insurance

被引：21

作者：

Denuit, Michel ^{[1
]}

Dhaene, Jan ^{[2
]}

Robert, Christian Y. ^{[3
]}

机构：

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

[2] Katholieke Univ Leuven, Fac Business & Econ, AFI, Res Ctr Insurance,Actuarial Res Grp, Leuven, Belgium

[3] ENSAE, CREST Ctr Res Econ & Stat, Lab Finance & Insurance LFA, 5 Ave Henry Le Chatelier, F-91764 Paris, France

来源：

JOURNAL OF RISK AND INSURANCE | 2022年 / 89卷 / 03期

关键词：

comonotonicity; conditional mean risk-sharing rule; crowdsurance; peer-to-peer insurance; pooling; quantile risk-sharing rule; ACTUARIAL SCIENCE; COMONOTONICITY; FINANCE; THEOREM;

D O I：

10.1111/jori.12385

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper offers a systematic treatment of risk-sharing rules for insurance losses, based on a list of relevant properties. A number of candidate risk-sharing rules are considered, including the conditional mean risk-sharing rule proposed in Denuit and Dhaene and the newly introduced quantile risk-sharing rule. Their compliance with the proposed properties is established. Then, methods for building new risk-sharing rules are discussed. The results derived in this paper are helpful in the development of peer-to-peer insurance (or crowdsurance), as well as to manage contingent risk funds where a given budget is distributed among claimants.

引用

页码：615 / 667

页数：53

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