Conditional mean risk sharing for dependent risks using graphical models

Denuit, Michel;Robert, Christian Y.
(2020) , 22 pages

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Authors
  • Denuit, MichelUCLouvain
    Author
  • Robert, Christian Y.ENSAE, Paris, France
    Author
Abstract
Conditional mean risk sharing appears to be e_ective in collaborative insurance to distribute total losses among participants. This paper develops analytical results for this risk sharing rule when risks are zero-augmented random variables whose joint occurrences distributions and claim amount distributions are based on network structures and may be characterized by graphical models. More speci_cally we consider the Ising model for occurrences and decomposable graphical models for the claim amount structures. Such models are typically useful for modeling operational risk or cyber security risk.
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Denuit, M., & Robert, C. Y. (2020). Conditional mean risk sharing for dependent risks using graphical models (ISBA Discussion Paper 2020/29). https://hdl.handle.net/2078.5/119968