Surplus Sharing with Coherent Utility Functions

Delia Coculescu and Freddy Delbaen
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Delia Coculescu: Institut für Banking und Finance, Universität Zürich, Plattenstrasse 32, 8032 Zürich, Switzerland
Freddy Delbaen: Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland

Risks, 2019, vol. 7, issue 1, 1-12

Abstract: We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e., the shareholders.

Keywords: coherence; monetary utility; insurance benefit; benefit sharing (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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