From risk sharing to pure premium for a large number of heterogeneous losses
Let \(\{X_1,X_2,\ldots,X_n\}\) be a collection mutually independent non-negative random variables representing monetary losses of \(n\) participants to an insurance pool. Denote by \(h_{i,n}(s)\) the amount participant \(i\in\{1,2,\ldots,n\}\) contributes to the pool, where \(s=\sum_{i=1}^{n}x_i\) is the sum of the realizations \(x_1,x_2,\ldots,x_n\) of random variables \(X_1,X_2,\ldots,X_n\). A fair \textit{risk sharing rule} is an allocation scheme such that, for all \(n\in\mathbb{N}\) there exist measurable functions \(h_{1,n},h_{2,n},\ldots,h_{n,n}\) satisfying two requirements: \[ \sum_{i=1}^{n}h_{i,n}(s)=s \ \text{ for }\ s\geqslant 0; \] \[ \mathbb{E}\left(h_{i,n}(S_n))\right)=\mathbb{E}X_i\ \text{ for }\ i\in\{1,2,\ldots,n\}. \] The first condition means that the total risk \(S_n=X_1+X_2+\ldots+X_n\) is entirely allocated among the \(n\) participants, and the second condition ensures actuarial fairness. Authors of the paper study the behaviour of three \textit{risk sharing rules} when the size of the pool becomes large.
- Large-loss behavior of conditional mean risk sharing
- Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- From risk reduction to risk elimination by conditional mean risk sharing of independent losses
- Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
- A general law of iterated logarithm
- A limit theorem for expectations conditional on a sum
- Actuarial fairness and solidarity in pooled annuity funds
- Convex order and comonotonic conditional mean risk sharing
- Equilibrium in a Reinsurance Market
- scientific article; zbMATH DE number 558238 (Why is no real title available?)
- scientific article; zbMATH DE number 741240 (Why is no real title available?)
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- Large-loss behavior of conditional mean risk sharing
- Linear versus nonlinear allocation rules in risk sharing under financial fairness
- Rates of convergence for conditional expectations
- Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
- Stochastic orders
- Weighted risk capital allocations in the presence of systematic risk
- When q theory meets large losses risks and agency conflicts
- Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- Stop-loss protection for a large P2P insurance pool
- Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
- Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses
- From risk reduction to risk elimination by conditional mean risk sharing of independent losses
- Mortality credits within large survivor funds
- Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
- Large-loss behavior of conditional mean risk sharing
- Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions
- Modern life-care tontines
- A stochastic model of group wealth responses to insurance mechanisms in low-income communities
- Risk aggregation with FGM copulas
- Optimal commissions and subscriptions in mutual aid platforms
- Conditional mean risk sharing of independent discrete losses in large pools
- A unified theory of decentralized insurance
- Risk sharing rule and safety loading in a peer to peer cooperative insurance model
- Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates
- A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules
- Risk sensitive control and an optimal reinsurance model of a network of insurance companies
- Efficient evaluation of risk allocations
- On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events
This page was built for publication: From risk sharing to pure premium for a large number of heterogeneous losses
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2656992)
