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Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]

Author

Listed:
  • Denuit, Michel

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

  • Robert, Christian Y.

Abstract

This paper supplements the previous contribution by Denuit and Robert (2021). First, the compound Poisson case is revisited and the strong law of large number is rigorously established for the conditional expectations defining the conditional mean risk allocation. Then, a weak law of large numbers is proposed, providing the actuary with a criterion ensuring that the variance of individual contributions tends to 0. This is appealing for applications since this behavior is a key success factor for collaborative insurance pools.

Suggested Citation

  • Denuit, Michel & Robert, Christian Y., 2021. "Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]," LIDAM Reprints ISBA 2021050, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2021050
    DOI: https://doi.org/10.1016/j.insmatheco.2021.09.002
    Note: In: Insurance: Mathematics and Economics, 2021, vol. 101, Part B, p. 640-644
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    More about this item

    Keywords

    Conditional expectation ; Risk pooling ; Law of large number;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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