{"title":"Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model","authors":"Michel Denuit , Christian Y. Robert","doi":"10.1016/j.insmatheco.2023.05.008","DOIUrl":null,"url":null,"abstract":"<div><p>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 risk-sharing rule proposed by <span>Denuit and Dhaene (2012)</span> 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.</p></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"112 ","pages":"Pages 23-32"},"PeriodicalIF":1.9000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Insurance Mathematics & Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S016766872300046X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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Abstract
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 risk-sharing 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.
期刊介绍：
Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world.
Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.
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