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

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

No 2022026, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

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.

Keywords: Comonotonicity; conditional mean risk-sharing rule; crowdsurance; peer‐to‐peer insurance; pooling; quantile risk-sharing rule (search for similar items in EconPapers)
Pages: 53
Date: 2022-01-01
Note: In: Journal of Risk and Insurance, 2022, vol. 89(3), p. 615-667
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance (2022)
Working Paper: Risk-sharing rules and their properties, with applications to peer-to-peer insurance (2021)
Working Paper: Risk-sharing Rules and their properties with applications to peer-to-peer insurance (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2022026

DOI: 10.1111/jori.12385

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