IDEAS home Printed from https://ideas.repec.org/p/aiz/louvar/2021019.html
   My bibliography  Save this paper

Stop-loss protection for a large P2P insurance pool

Author

Listed:
  • Denuit, Michel

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Robert, Christian Y.

Abstract

This paper considers a peer-to-peer (P2P) insurance scheme where the higher layer is transferred to a (re-)insurer and retained losses are distributed among participants according to the conditional mean risk sharing rule proposed by Denuit and Dhaene (2012). The global retention level of the pool of participants grows proportionally with their number. We study the asymptotic behavior of the individual retention levels, as well as individual cash-backs and stop-loss premiums, as the number of participants increases. The probability that the total loss hits the upper layer protected by the stop-loss treaty is also considered. The results depend on the proportional rate of increase of the global retention level with the number of participants, as well as on the existence of the Esscher transform of the losses brought to the pool.

Suggested Citation

  • Denuit, Michel & Robert, Christian Y., 2021. "Stop-loss protection for a large P2P insurance pool," LIDAM Reprints ISBA 2021019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2021019
    DOI: https://doi.org/10.1016/j.insmatheco.2021.05.007
    Note: In: Insurance: Mathematics and Economics, Vol. 100, p. 210-233 (2021)
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aiz:louvar:2021019. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.