Conditional mean risk sharing for dependent risks using graphical models

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

No 2020029, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Conditional mean risk sharing appears to be e_ective in collaborative insurance to distribute total losses among participants. This paper develops analytical results for this risk sharing rule when risks are zero-augmented random variables whose joint occurrences distributions and claim amount distributions are based on network structures and may be characterized by graphical models. More speci_cally we consider the Ising model for occurrences and decomposable graphical models for the claim amount structures. Such models are typically useful for modeling operational risk or cyber security risk.

Keywords: Graphical models; Ising model; decomposable graphs; size-biased transform (search for similar items in EconPapers)
Pages: 22
Date: 2020-01-01
New Economics Papers: this item is included in nep-rmg
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