SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES
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Publication:4972118
DOI10.1017/asb.2019.24zbMath1427.91225OpenAlexW2956876291WikidataQ127464463 ScholiaQ127464463MaRDI QIDQ4972118
Publication date: 22 November 2019
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A215115/datastream/PDF_01/view
conditional expectationrisk measuresrisk poolingcompound distributionsPanjer family of distributions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
Related Items (16)
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS ⋮ Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses ⋮ Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ From risk sharing to pure premium for a large number of heterogeneous losses ⋮ From risk reduction to risk elimination by conditional mean risk sharing of independent losses ⋮ Wealth heterogeneity in a closed pooled annuity fund ⋮ A stochastic model of group wealth responses to insurance mechanisms in low-income communities ⋮ Optimal design for network mutual aid ⋮ Risk aggregation with FGM copulas ⋮ Actuarial fairness and social welfare in mixed-cohort tontines ⋮ Investing in your own and peers' risks: the simple analytics of P2P insurance ⋮ LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING ⋮ Stop-loss protection for a large P2P insurance pool ⋮ Peer-to-peer multi-risk insurance and mutual aid ⋮ MODERN LIFE-CARE TONTINES ⋮ Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”
Uses Software
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