Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks

Michel Denuit () and Christian Y. Robert
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Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2020018, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Conditional tail expectations are often used in risk measurement and capital allocation. Con- ditional mean risk sharing appears to be effective in collaborative insurance, to distribute total losses among participants. This paper develops analytical results for risk allocation among different, correlated units based on conditional tail expectations and conditional mean risk sharing. Results available in the literature for independent risks are extended to correlated ones, in a unified way. The approach is applied to mixture models with correlated latent factors that are often used in insurance studies.

Keywords: Weighted distributions; size-biased transform; mixture models (search for similar items in EconPapers)
Pages: 23
Date: 2020-01-01
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2020018

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