An axiomatic theory for comonotonicity-based risk sharing

Dhaene, Jan;Robert, Christian Y.;Cheung, Ka Chun;Denuit, Michel
(2023) , 21 pages

Files

ISBA_DP_2023-28.pdf
  • Open Access
  • Adobe PDF
  • 532.07 KB
Download

Details

Authors
  • Dhaene, Jan
    Author
  • Robert, Christian Y.
    Author
  • Cheung, Ka Chun
    Author
  • Denuit, MichelUCLouvain
    Author
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.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Dhaene, J., Robert, C. Y., Cheung, K. C., & Denuit, M. (2023). An axiomatic theory for comonotonicity-based risk sharing (LIDAM Discussion Paper ISBA 2023/28). https://hdl.handle.net/2078.5/103319