Linear versus nonlinear allocation rules in risk sharing under financial fairness

DOI10.1017/ASB.2018.25MaRDI QIDQ4691245zbMATH OpenOpenAlexFDO

Authors Johannes M. Schumacher

Publication date 19 October 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://dare.uva.nl/personal/pure/en/publications/linear-versus-nonlinear-allocation-rules-in-risk-sharing-under-financial-fairness(bb843884-5c60-4722-9bc3-8da7be1d814d).html

zbMATH Keywords

allocation rulesborch theoremfinancial fairnessrisk sharingsyndicates

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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Cited in

(13)

• A collective investment problem in a stochastic volatility environment: the impact of sharing rules
• The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
• From risk sharing to pure premium for a large number of heterogeneous losses
• Optimal collective investment: an analysis of individual welfare
• Financial fairness and conditional indexation
• Multi-period risk sharing under financial fairness
• Large-loss behavior of conditional mean risk sharing
• Modern life-care tontines
• Optimal multivariate financial decision making
• Actuarial fairness and social welfare in mixed-cohort tontines
• A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules
• Pareto efficiency and financial fairness under limited expected loss constraint
• Axiomatic risk sharing and capital allocation

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