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An axiomatic theory for comonotonicity-based risk sharing

Author

Listed:
  • Dhaene, Jan

    (KU Leuven)

  • Robert, Christian Y.

    (ENSAE)

  • Cheung, Ka Chun

    (The Univeristy of Hong-Kong)

  • Denuit, Michel

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

Abstract

This paper studies the quantile risk-sharing rule introduced in Denuit, Dhaene & Robert (2022). This rule is not actuarially fair, but instead satisfies another type of fairness, which is comparable with “solvency fairness” in classical centralized insurance. New properties are investigated and an axiomatic theory is developed for the quantile risk-sharing rule, which allows for a deeper understanding of its proper use. The axiomatic characterization of the quantile risk-sharing rule is based on aggregate and comonotonicity-related properties of risk-sharing rules.

Suggested Citation

  • Dhaene, Jan & Robert, Christian Y. & Cheung, Ka Chun & Denuit, Michel, 2023. "An axiomatic theory for comonotonicity-based risk sharing," LIDAM Discussion Papers ISBA 2023028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2023028
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    Keywords

    Quantile risk-sharing rule ; conditional mean risk-sharing rule ; pooling ; comonotonicity ; P2P insurance;
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