Dynamic conditional mean risk sharing in the compound Poisson surplus model

Michel Denuit and Christian Y. Robert
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Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Christian Y. Robert: CREST - ENSAE

No 2022034, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This paper proposes a dynamic 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. A dynamic version of 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.

Keywords: Risk pooling; conditional mean risk sharing; ruin probability; mutual exclusivity (search for similar items in EconPapers)
Pages: 19
Date: 2022-11-08
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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