Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model

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

No 2023014, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This paper proposes a new risk-sharing procedure, framed into the classical insurance surplus process. Compared to the standard setting where total losses are shared at the end of the period, losses are allocated among participants at their occurrence time in the proposed model. The conditional mean risk-sharing rule proposed by Denuit and Dhaene (2012) is applied to this end. The analysis adopts two different points of views: a collective one for the pool and an individual one for sharing losses and adjusting the amounts of contributions among participants. These two views are compatible under the compound Poisson risk process. Guarantees can also be added by partnering with an insurer.

Keywords: Risk pooling; Conditional mean risk sharing; Ruin probability; Mutual exclusivity (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Pages: 10
Date: 2023-06-08
Note: In: Insurance: Mathematics and Economics, 2023, vol. 112, p. 23-32
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2023014

DOI: 10.1016/j.insmatheco.2023.05.008

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