An axiomatic theory for comonotonicity-based risk sharing

Jan Dhaene, Christian Y. Robert (), Ka Chun Cheung () and Michel Denuit ()
Additional contact information
Christian Y. Robert: ENSAE
Ka Chun Cheung: The Univeristy of Hong-Kong
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2023028, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This paper studies the quantile risk-sharing rule introduced in Denuit, Dhaene & Robert (2022). This rule is not actuarially fair, but instead satisfies another type of fairness, which is comparable with “solvency fairness” in classical centralized insurance. New properties are investigated and an axiomatic theory is developed for the quantile risk-sharing rule, which allows for a deeper understanding of its proper use. The axiomatic characterization of the quantile risk-sharing rule is based on aggregate and comonotonicity-related properties of risk-sharing rules.

Keywords: Quantile risk-sharing rule; conditional mean risk-sharing rule; pooling; comonotonicity; P2P insurance (search for similar items in EconPapers)
Pages: 21
Date: 2023-07-14
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:2023028

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