IDEAS home Printed from https://ideas.repec.org/r/aiz/louvad/2010043.html
   My bibliography  Save this item

Convex order and comonotonic conditional mean risk sharing

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Onjewu, Adah-Kole Emmanuel & Walton, Nigel & Koliousis, Ioannis, 2023. "Blockchain agency theory," Technological Forecasting and Social Change, Elsevier, vol. 191(C).
  2. repec:ipg:wpaper:2014-074 is not listed on IDEAS
  3. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
  4. Denuit, Michel & Robert, Christian Y., 2020. "From risk sharing to risk transfer: the analytics of collaborative insurance," LIDAM Discussion Papers ISBA 2020017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  5. Hieber, Peter & Lucas, Nathalie, 2020. "Life-Care Tontines," LIDAM Discussion Papers ISBA 2020026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  6. Denuit, Michel & Robert, Christian Y., 2021. "Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses," LIDAM Discussion Papers ISBA 2021016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Jan Dhaene & Rodrigue Kazzi & Emiliano A. Valdez, 2024. "Axiomatic characterizations of some simple risk-sharing rules," Papers 2411.06240, arXiv.org, revised Nov 2024.
  8. Denuit, Michel & Robert, Christian Y., 2023. "From risk reduction to risk elimination by conditional mean risk sharing of independent losses," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 46-59.
  9. Denuit, M. & Robert, C.Y., 2020. "Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities," LIDAM Discussion Papers ISBA 2020014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  10. H'el`ene Cossette & Benjamin C^ot'e & Alexandre Dubeau & Etienne Marceau, 2024. "Risk models from tree-structured Markov random fields following multivariate Poisson distributions," Papers 2412.00607, arXiv.org.
  11. Tim J. Boonen & Wing Fung Chong & Mario Ghossoub, 2024. "Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 91(2), pages 449-488, June.
  12. Denuit, Michel & Hieber, Peter & Robert, Christian Y., 2021. "Mortality credits within large survivor funds," LIDAM Discussion Papers ISBA 2021038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  13. Michel Denuit & Christian Y. Robert, 2024. "Conditional Mean Risk Sharing of Independent Discrete Losses in Large Pools," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-22, December.
  14. Runhuan Feng & Chongda Liu & Stephen Taylor, 2023. "Peer-to-peer risk sharing with an application to flood risk pooling," Annals of Operations Research, Springer, vol. 321(1), pages 813-842, February.
  15. Denuit, Michel & Ortega-Jimenez, Patricia & Robert, Christian Y., 2024. "No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses," LIDAM Discussion Papers ISBA 2024019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  16. Chateauneuf, Alain & Mostoufi, Mina & Vyncke, David, 2015. "Multivariate risk sharing and the derivation of individually rational Pareto optima," Mathematical Social Sciences, Elsevier, vol. 74(C), pages 73-78.
  17. Denuit, Michel & Ortega-Jimenez, Patricia & Robert, Christian Y., 2024. "Conditional expectations given the sum of independent random variables with regularly varying densities," LIDAM Discussion Papers ISBA 2024006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  18. Michel Denuit & Jan Dhaene & Christian Y. Robert, 2022. "Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 615-667, September.
  19. Denuit, Michel & Robert, Christian Y., 2021. "Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
  20. Michel Denuit & Christian Y. Robert, 2021. "Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(2), pages 181-205, June.
  21. Denuit, Michel, 2019. "Investing in your own and peers' risks: The simple analytics of p2p insurance," LIDAM Discussion Papers ISBA 2019028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  22. Cheung, K.C. & Rong, Yian & Yam, S.C.P., 2014. "Borch’s Theorem from the perspective of comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 144-151.
  23. Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  24. Denuit, Michel & Robert, Christian Y., 2023. "Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 23-32.
  25. Choo, Weihao & de Jong, Piet, 2016. "Insights to systematic risk and diversification across a joint probability distribution," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 142-150.
  26. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
  27. Saumard, Adrien & Wellner, Jon A., 2018. "Efron’s monotonicity property for measures on R2," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 212-224.
  28. Devolder, Pierre, 2019. "Une alternative a la pension a points : le compte individuel pension en euros," LIDAM Discussion Papers ISBA 2019011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  29. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "Convex ordering for insurance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 409-416.
  30. Denuit, Michel & Robert, Christian Y., 2020. "Stop-loss protection for a large P2P insurance pool," LIDAM Discussion Papers ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  31. Jan L. M. Dhaene & Moshe A. Milevsky, 2024. "Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat," Papers 2402.00855, arXiv.org.
  32. Denuit, Michel & Robert, Christian Y., 2020. "Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks," LIDAM Discussion Papers ISBA 2020018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  33. Michel Denuit & Christian Y. Robert, 2022. "Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 693-711, June.
  34. Denuit, Michel & Robert, Christian Y., 2021. "Stop-loss protection for a large P2P insurance pool," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 210-233.
  35. Zhanyi Jiao & Steven Kou & Yang Liu & Ruodu Wang, 2022. "An axiomatic theory for anonymized risk sharing," Papers 2208.07533, arXiv.org, revised May 2023.
  36. Li, Shengguo & Peng, Jin & Zhang, Bo, 2013. "The uncertain premium principle based on the distortion function," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 317-324.
  37. Denuit, M. & Robert, C.Y., 2020. "From risk sharing to pure premium for a large number of heterogeneous losses," LIDAM Discussion Papers ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  38. Denuit, Michel & Robert, Christian Y., 2020. "Risk reduction by conditional mean risk sharing with application to collaborative insurance," LIDAM Discussion Papers ISBA 2020024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  39. Mario Ghossoub & Michael B. Zhu & Wing Fung Chong, 2024. "Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures," Papers 2409.05103, arXiv.org.
  40. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
  41. Michel Denuit & Christian Y. Robert, 2022. "Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1953-1985, September.
  42. Fallou Niakh, 2023. "A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules," Papers 2303.05421, arXiv.org, revised Jul 2023.
  43. Denuit, Michel & Dhaene, Jan & Ghossoub, Mario & Robert, Christian Y., 2023. "Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance," LIDAM Discussion Papers ISBA 2023005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  44. Denuit, Michel & Robert, Christian Y., 2021. "Risk sharing under the dominant peer-to-peer property and casualty insurance business models," LIDAM Discussion Papers ISBA 2021001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  45. Denuit, Michel & Robert, Christian Y., 2021. "From risk sharing to pure premium for a large number of heterogeneous losses," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 116-126.
  46. Denuit, Michel & Robert, Christian Y., 2020. "Conditional mean risk sharing for dependent risks using graphical models," LIDAM Discussion Papers ISBA 2020029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  47. Denuit, Michel, 2019. "Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines," LIDAM Discussion Papers ISBA 2019010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  48. Mario Ghossoub & Giulio Principi & Ruodu Wang, 2024. "Allocation Mechanisms in Decentralized Exchange Markets with Frictions," Papers 2404.10900, arXiv.org.
  49. Denuit, Michel & Robert, Christian Y., 2023. "Conditional mean risk sharing of independent discrete losses in large pools," LIDAM Discussion Papers ISBA 2023010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  50. Denuit, Michel & Robert, Christian Y., 2023. "Endowment contingency funds for mutual aid and public financing," LIDAM Discussion Papers ISBA 2023009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.