Surplus sharing with coherent utility functions

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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Year of publication:	2019
Authors:	Coculescu, Delia ; Delbaen, Freddy
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 7.2019, 1, p. 1-12
Publisher:	Basel : MDPI
Subject:	coherence \| monetary utility \| insurance benefit \| benefit sharing

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks7010007 [DOI] 1667827847 [GVK] hdl:10419/257845 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200425