Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance
(2022) Journal of Risk and Insurance — Vol. 89, n° 3, p. 615-667 (2022)
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- Abstract
- This paper offers a systematic treatment of risk-sharing rules for insurance losses, based on a list of relevant properties. A number of candidate risk-sharing rules are considered, including the conditional mean risk-sharing rule proposed in Denuit and Dhaene and the newly introduced quantile risk-sharing rule. Their compliance with the proposed properties is established. Then, methods for building new risk-sharing rules are discussed. The results derived in this paper are helpful in the development of peer‐to‐peer insurance (or crowdsurance), as well as to manage contingent risk funds where a given budget is distributed among claimants.
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Denuit, M., Dhaene, J., & Robert, C. Y. (2022). Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance. Journal of Risk and Insurance, 89(3), 615-667. https://doi.org/10.1111/jori.12385 (Original work published 2022)