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

Author

Listed:
  • Denuit, Michel

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

  • Robert, Christian Y.

    (ENSAE. CREST)

Abstract

This paper proposes a new risk-sharing procedure, framed into the classical insurance surplus process. Compared to the standard setting where total losses are shared at the end of the period, losses are allocated among participants at their occurrence time in the proposed model. The conditional mean risk-sharing rule proposed by Denuit and Dhaene (2012) is applied to this end. The analysis adopts two different points of views: a collective one for the pool and an individual one for sharing losses and adjusting the amounts of contributions among participants. These two views are compatible under the compound Poisson risk process. Guarantees can also be added by partnering with an insurer.

Suggested Citation

  • Denuit, Michel & Robert, Christian Y., 2023. "Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model," LIDAM Reprints ISBA 2023014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2023014
    DOI: https://doi.org/10.1016/j.insmatheco.2023.05.008
    Note: In: Insurance: Mathematics and Economics, 2023, vol. 112, p. 23-32
    as

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    More about this item

    Keywords

    Risk pooling ; Conditional mean risk sharing ; Ruin probability ; Mutual exclusivity;
    All these keywords.

    JEL classification:

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

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