复合Poisson盈余模型中损失发生时的条件平均风险分担

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI:10.1016/j.insmatheco.2023.05.008

Michel Denuit , Christian Y. Robert

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引用次数: 0

摘要

本文提出了一种新的风险分担程序，该程序被纳入了经典的保险盈余过程。与在期末分担总损失的标准设置相比，在所提出的模型中，损失在参与者之间的发生时间进行分配。Denuit和Dhane（2012）提出的条件平均风险分担规则适用于此。分析采用了两种不同的观点：一种是集体观点，另一种是个人观点，用于分担损失和调整参与者之间的捐款数额。这两种观点在复合泊松风险过程下是相容的。还可以通过与保险公司合作来增加担保。

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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Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model

This paper proposes a new risk-sharing procedure, framed into the classical insurance surplus process. Compared to the standard setting where total losses are shared at the end of the period, losses are allocated among participants at their occurrence time in the proposed model. The conditional mean risk-sharing rule proposed by Denuit and Dhaene (2012) is applied to this end. The analysis adopts two different points of views: a collective one for the pool and an individual one for sharing losses and adjusting the amounts of contributions among participants. These two views are compatible under the compound Poisson risk process. Guarantees can also be added by partnering with an insurer.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

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.