LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS

DOI10.1017/asb.2018.25zbMath1416.91220OpenAlexW2601857648MaRDI QIDQ4691245

Johannes M. Schumacher

Publication date: 19 October 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

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

risk sharingallocation rulesfinancial fairnesssyndicatesborch theorem

Mathematics Subject Classification ID

Related Items (7)

From risk sharing to pure premium for a large number of heterogeneous losses ⋮ Optimal multivariate financial decision making ⋮ Actuarial fairness and social welfare in mixed-cohort tontines ⋮ Optimal collective investment: an analysis of individual welfare ⋮ LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ MODERN LIFE-CARE TONTINES

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