Optimal Risk-Sharing Across a Network of Insurance Companies

Nicolas Ettlin, W. Farkas, Andre Kull, Alexander Smirnow
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引用次数: 5

Abstract

Abstract Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital requirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital constraints at the level of individual insurance companies. We demonstrate that the optimisation of profitability across the network can be achieved through risk transfer. Considering only individual insurance companies, there is no unique optimal solution and, a priori, it is not clear which solutions are fair. However, from a network perspective, we derive a unique fair solution in the sense of cooperative game theory. Implications for systemic risk are briefly discussed.
保险公司网络的最优风险分担
摘要风险转移是保险公司风险和资金管理的重要手段。在保险公司之间转移风险是用来降低风险和管理资本要求的。我们研究了保险公司网络环境下的风险转移,并考虑了单个保险公司层面的资本成本和资本约束。我们证明,整个网络的盈利能力优化可以通过风险转移来实现。仅考虑单个保险公司,不存在唯一的最优解决方案,而且,先验地,不清楚哪些解决方案是公平的。然而,从网络的角度出发,我们得到了合作博弈论意义上的唯一公平解。简要讨论了对系统风险的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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