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Risk-sharing Rules and their properties with applications to peer-to-peer insurance

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  • Michel Denuit
  • Jan Dhaene
  • Christian Y Robert

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.
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Suggested Citation

  • Michel Denuit & Jan Dhaene & Christian Y Robert, 2021. "Risk-sharing Rules and their properties with applications to peer-to-peer insurance," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 689055, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    • Handle: RePEc:ete:afiper:689055
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