Surplus sharing with coherent utility functions

Delia Coculescu and Freddy Delbaen

Papers from arXiv.org

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.

Date: 2018-10
New Economics Papers: this item is included in nep-upt
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