Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model

DOI10.1016/j.insmatheco.2023.05.008zbMath1530.91513MaRDI QIDQ6072262

Christian Y. Robert, Michel M. Denuit

Publication date: 12 October 2023

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

zbMATH Keywords

ruin probabilityrisk poolingmutual exclusivityconditional mean risk sharing

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Some comparison results for finite-time ruin probabilities in the classical risk model
• Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
• Convex order and comonotonic conditional mean risk sharing
• Improved Asymptotics for Ruin Probabilities
• On finite-time ruin probabilities for classical risk models
• LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• Finite-time ruin probabilities using bivariate Laguerre series

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