Robust optimal risk sharing and risk premia in expanding pools

DOI10.1016/j.insmatheco.2016.05.012zbMath1371.91095arXiv1601.06979OpenAlexW2272914547MaRDI QIDQ2520446

Roger J. A. Laeven, Gregor Svindland, Thomas Knispel

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.06979

zbMATH Keywords

Pareto optimalityambiguityrisk premiarisk sharingconvex risk measuresrobust preferenceslarge pools

Mathematics Subject Classification ID

Related Items (4)

The fundamental theorem of mutual insurance ⋮ The average risk sharing problem under risk measure and expected utility theory ⋮ Budget-constrained optimal insurance without the nonnegativity constraint on indemnities ⋮ Quantile-Based Risk Sharing

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