From risk sharing to pure premium for a large number of heterogeneous losses
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Publication:2656992
DOI10.1016/J.INSMATHECO.2020.11.006zbMATH Open1465.91094OpenAlexW3101743832MaRDI QIDQ2656992FDOQ2656992
Authors: C. Y. Robert, Michel Denuit 
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A230340/datastream/PDF_01/view
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Cites Work
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- Stochastic orders
- Convex order and comonotonic conditional mean risk sharing
- Equilibrium in a Reinsurance Market
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- Actuarial fairness and solidarity in pooled annuity funds
- A general law of iterated logarithm
- Weighted risk capital allocations in the presence of systematic risk
- A limit theorem for expectations conditional on a sum
- Rates of convergence for conditional expectations
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
- Large-loss behavior of conditional mean risk sharing
- Linear versus nonlinear allocation rules in risk sharing under financial fairness
Cited In (18)
- Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
- Mortality credits within large survivor funds
- Optimal commissions and subscriptions in mutual aid platforms
- Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
- Large-loss behavior of conditional mean risk sharing
- When \(q\) theory meets large losses risks and agency conflicts
- Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
- Stop-loss protection for a large P2P insurance pool
- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- Modern life-care tontines
- Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses
- Conditional mean risk sharing of independent discrete losses in large pools
- From risk reduction to risk elimination by conditional mean risk sharing of independent losses
- Risk aggregation with FGM copulas
- A unified theory of decentralized insurance
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions
- A stochastic model of group wealth responses to insurance mechanisms in low-income communities
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