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

Michel Denuit, Jan Dhaene and Christian Y. Robert
Additional contact information
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Christian Y. Robert: CREST

No 2021037, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: 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 (2012) 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 shown to be 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.

Keywords: Pooling; peer-to-peer (P2P) insurance; crowdsurance; conditional mean risk-sharing rule; quantile risk-sharing rule; comonotonicity (search for similar items in EconPapers)
Pages: 44
Date: 2021-11-23
New Economics Papers: this item is included in nep-ias and nep-rmg
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Related works:
Journal Article: Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance (2022)
Working Paper: Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance (2022)
Working Paper: Risk-sharing Rules and their properties with applications to peer-to-peer insurance (2021)
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