{"title":"多元最优风险转移中的分散效应","authors":"Vali Asimit , Tsz Chai Fung , Liang Peng , Fang Yang","doi":"10.1016/j.insmatheco.2025.103156","DOIUrl":null,"url":null,"abstract":"<div><div>There are two main practical questions in the context of multivariate risk transfers. First, non-intragroup risk transfers raise the question of whether to purchase (re)insurance coverage for the aggregate risk or separately for each risk. Second, intragroup risk transfers are always challenged by regulators on whether there is a commercial purpose in such transactions, and therefore, insurance buyers must commercially validate their decisions. This paper investigates the diversification effect from the buyer's and the seller's perspectives. Our analysis for insurance buyers is based on the ratio between the optimal reinsurance risk margin cost for the total sum of losses and the sum of the individual optimal risk margin costs for each loss type. Because analytical comparison is infeasible, we develop a statistical inference method for this ratio and evaluate its finite sample performance through simulation. The seller's perspective is modeled via a new measure to assess the relative profitability of offering joint versus separate risk transfer contracts. The combined use of these measures enables both buyers and sellers to identify optimal risk transfer decisions that are commercially viable for both parties. Finally, we apply the proposed inference methods to the widely studied Danish fire loss dataset, illustrating the practical implications of our findings that equally apply to an intragroup or non-intragroup risk transfer.</div></div>","PeriodicalId":54974,"journal":{"name":"Insurance Mathematics & Economics","volume":"125 ","pages":"Article 103156"},"PeriodicalIF":2.2000,"publicationDate":"2025-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Diversification effect in multivariate optimal risk transfer\",\"authors\":\"Vali Asimit , Tsz Chai Fung , Liang Peng , Fang Yang\",\"doi\":\"10.1016/j.insmatheco.2025.103156\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>There are two main practical questions in the context of multivariate risk transfers. First, non-intragroup risk transfers raise the question of whether to purchase (re)insurance coverage for the aggregate risk or separately for each risk. Second, intragroup risk transfers are always challenged by regulators on whether there is a commercial purpose in such transactions, and therefore, insurance buyers must commercially validate their decisions. This paper investigates the diversification effect from the buyer's and the seller's perspectives. Our analysis for insurance buyers is based on the ratio between the optimal reinsurance risk margin cost for the total sum of losses and the sum of the individual optimal risk margin costs for each loss type. Because analytical comparison is infeasible, we develop a statistical inference method for this ratio and evaluate its finite sample performance through simulation. The seller's perspective is modeled via a new measure to assess the relative profitability of offering joint versus separate risk transfer contracts. The combined use of these measures enables both buyers and sellers to identify optimal risk transfer decisions that are commercially viable for both parties. Finally, we apply the proposed inference methods to the widely studied Danish fire loss dataset, illustrating the practical implications of our findings that equally apply to an intragroup or non-intragroup risk transfer.</div></div>\",\"PeriodicalId\":54974,\"journal\":{\"name\":\"Insurance Mathematics & Economics\",\"volume\":\"125 \",\"pages\":\"Article 103156\"},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2025-09-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Insurance Mathematics & Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0167668725001039\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Insurance Mathematics & Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167668725001039","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Diversification effect in multivariate optimal risk transfer
There are two main practical questions in the context of multivariate risk transfers. First, non-intragroup risk transfers raise the question of whether to purchase (re)insurance coverage for the aggregate risk or separately for each risk. Second, intragroup risk transfers are always challenged by regulators on whether there is a commercial purpose in such transactions, and therefore, insurance buyers must commercially validate their decisions. This paper investigates the diversification effect from the buyer's and the seller's perspectives. Our analysis for insurance buyers is based on the ratio between the optimal reinsurance risk margin cost for the total sum of losses and the sum of the individual optimal risk margin costs for each loss type. Because analytical comparison is infeasible, we develop a statistical inference method for this ratio and evaluate its finite sample performance through simulation. The seller's perspective is modeled via a new measure to assess the relative profitability of offering joint versus separate risk transfer contracts. The combined use of these measures enables both buyers and sellers to identify optimal risk transfer decisions that are commercially viable for both parties. Finally, we apply the proposed inference methods to the widely studied Danish fire loss dataset, illustrating the practical implications of our findings that equally apply to an intragroup or non-intragroup risk transfer.
期刊介绍:
Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world.
Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.