Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]

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

No 2021050, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This paper supplements the previous contribution by Denuit and Robert (2021). First, the compound Poisson case is revisited and the strong law of large number is rigorously established for the conditional expectations defining the conditional mean risk allocation. Then, a weak law of large numbers is proposed, providing the actuary with a criterion ensuring that the variance of individual contributions tends to 0. This is appealing for applications since this behavior is a key success factor for collaborative insurance pools.

Keywords: Conditional expectation; Risk pooling; Law of large number (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Pages: 5
Date: 2021-11-01
Note: In: Insurance: Mathematics and Economics, 2021, vol. 101, Part B, p. 640-644
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2021050

DOI: 10.1016/j.insmatheco.2021.09.002

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