LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING
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Publication:5140090
DOI10.1017/asb.2020.23zbMath1454.91178OpenAlexW3043317478MaRDI QIDQ5140090
Christian Y. Robert, Michel M. Denuit
Publication date: 13 December 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2020.23
Related Items (7)
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 ⋮ From risk sharing to pure premium for a large number of heterogeneous losses ⋮ Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model ⋮ From risk reduction to risk elimination by conditional mean risk sharing of independent losses ⋮ A stochastic model of group wealth responses to insurance mechanisms in low-income communities ⋮ Stop-loss protection for a large P2P insurance pool
Cites Work
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- Weighted premium calculation principles
- Weighted risk capital allocations
- A note on the tail accuracy of the univariate saddlepoint approximation
- Weighted risk capital allocations in the presence of systematic risk
- Convex order and comonotonic conditional mean risk sharing
- Saddlepoint expansions in terms of Bell polynomials
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS
- Perspectives of Risk Sharing
- Tauberian Results for Densities with Gaussian Tails
- SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES
- Size-Biased Risk Measures of Compound Sums
- Weighted Pricing Functionals With Applications to Insurance
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