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Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance

Author

Listed:
  • Denuit, Michel

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

  • Dhaene, Jan
  • Robert, Christian Y.

Abstract

This paper offers a systematic treatment of risk-sharing rules for insurance losses, based on a list of relevant properties. A number of candidate risk-sharing rules are considered, including the conditional mean risk-sharing rule proposed in Denuit and Dhaene and the newly introduced quantile risk-sharing rule. Their compliance with the proposed properties is established. Then, methods for building new risk-sharing rules are discussed. The results derived in this paper are helpful in the development of peer‐to‐peer insurance (or crowdsurance), as well as to manage contingent risk funds where a given budget is distributed among claimants.

Suggested Citation

  • Denuit, Michel & Dhaene, Jan & Robert, Christian Y., 2022. "Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance," LIDAM Reprints ISBA 2022026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2022026
    DOI: https://doi.org/10.1111/jori.12385
    Note: In: Journal of Risk and Insurance, 2022, vol. 89(3), p. 615-667
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