Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks
(2020) , 23 pages
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- Abstract
- Conditional tail expectations are often used in risk measurement and capital allocation. Con- ditional mean risk sharing appears to be effective in collaborative insurance, to distribute total losses among participants. This paper develops analytical results for risk allocation among different, correlated units based on conditional tail expectations and conditional mean risk sharing. Results available in the literature for independent risks are extended to correlated ones, in a unified way. The approach is applied to mixture models with correlated latent factors that are often used in insurance studies.
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Citations
Denuit, M., & Robert, C. Y. (2020). Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks (Discussion Paper 2020/18). https://hdl.handle.net/2078.5/119358