Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model (Q6072262): Difference between revisions

The paper provides a novel risk-sharing procedure, which is implemented within the classical insurance surplus process. The study introduces some guidelines framed into the risk theory. The risk sharing procedure among participants is then depicted, describing how losses are allocated at their occurrence time. The impact of the suggested risk-sharing mechanism is discussed in detail, highlighting the scenarios that show critical issues. Then, the research provides formulas to share the burden of interest on temporary deficits as well as the accumulated surplus at maturity. In the perspective of large pools, the asymptotic behavior of finite-time and infinite-time default probabilities is studied, pointing out the practical benefits of risk pooling. The final discussion not only retraces the main features presented throughout the paper, but also suggests the inclusion of additional guarantees by partnering with an insurer.