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Surplus sharing with coherent utility functions

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  • Delia Coculescu
  • Freddy Delbaen

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.

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  • Delia Coculescu & Freddy Delbaen, 2018. "Surplus sharing with coherent utility functions," Papers 1811.02530, arXiv.org.
    • Handle: RePEc:arx:papers:1811.02530
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    References listed on IDEAS

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    1. DELBAEN, Freddy, 1974. "Convex games and extreme points," LIDAM Reprints CORE 159, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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