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

Michel Denuit, Jan Dhaene and Christian Y. Robert

Journal of Risk & Insurance, 2022, vol. 89, issue 3, 615-667

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 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 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.

Date: 2022
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Handle: RePEc:bla:jrinsu:v:89:y:2022:i:3:p:615-667