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Surplus Sharing with Coherent Utility Functions

Author

Listed:
  • Delia Coculescu

    (Institut für Banking und Finance, Universität Zürich, Plattenstrasse 32, 8032 Zürich, Switzerland)

  • Freddy Delbaen

    (Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
    Institut für Mathematik, Universität Zürich, Winterthurerstrasse 190, 8057 Zürich, Switzerland)

Abstract

We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e., the shareholders.

Suggested Citation

  • Delia Coculescu & Freddy Delbaen, 2019. "Surplus Sharing with Coherent Utility Functions," Risks, MDPI, vol. 7(1), pages 1-12, January.
    • Handle: RePEc:gam:jrisks:v:7:y:2019:i:1:p:7-:d:196509
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    References listed on IDEAS

    as
    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. DELBAEN, Freddy, 1974. "Convex games and extreme points," LIDAM Reprints CORE 159, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July.
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    Cited by:

    1. Bielecki Tomasz R. & Cialenco Igor & Pitera Marcin & Schmidt Thorsten, 2020. "Fair estimation of capital risk allocation," Statistics & Risk Modeling, De Gruyter, vol. 37(1-2), pages 1-24, January.

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