Egalitarian Equivalent Capital Allocation

Shinichi Kamiya and George Zanjani

North American Actuarial Journal, 2017, vol. 21, issue 3, 382-396

Abstract: We apply Moulin's notion of egalitarian equivalent cost sharing of a public good to the problem of insurance capitalization and capital allocation where the liability portfolio is fixed. We show that this approach yields overall capitalization and cost allocations that are Pareto efficient, individually rational, and, unlike other mechanisms, stable in the sense of adhering to cost monotonicity.

Date: 2017
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DOI: 10.1080/10920277.2017.1298450

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