Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
The paper provides a novel risk-sharing procedure, which is implemented within the classical insurance surplus process. The study introduces some guidelines framed into the risk theory. The risk sharing procedure among participants is then depicted, describing how losses are allocated at their occurrence time. The impact of the suggested risk-sharing mechanism is discussed in detail, highlighting the scenarios that show critical issues. Then, the research provides formulas to share the burden of interest on temporary deficits as well as the accumulated surplus at maturity. In the perspective of large pools, the asymptotic behavior of finite-time and infinite-time default probabilities is studied, pointing out the practical benefits of risk pooling. The final discussion not only retraces the main features presented throughout the paper, but also suggests the inclusion of additional guarantees by partnering with an insurer.
- Large-loss behavior of conditional mean risk sharing
- Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
- From risk reduction to risk elimination by conditional mean risk sharing of independent losses
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- Convex order and comonotonic conditional mean risk sharing
- Convex order and comonotonic conditional mean risk sharing
- Differentiation of some functionals of risk processes, and optimal reserve allocation
- Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
- Finite-time ruin probabilities using bivariate Laguerre series
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- Improved Asymptotics for Ruin Probabilities
- Large-loss behavior of conditional mean risk sharing
- On finite-time ruin probabilities for classical risk models
- Ruin probabilities
- Some comparison results for finite-time ruin probabilities in the classical risk model
This page was built for publication: Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6072262)
