This paper studies bilateral risk-sharing with no aggregate uncertainty, when agents maximize rank-dependent utilities …. We characterize the structure of Pareto optimal risk-sharing contracts in full generality. We then derive a necessary and …

Motivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management platforms and … risk-sharing, insurance and market platform. First, we show that under a non-discriminatory insurance assumption, it is … collects the premia ex-post after the losses are realised. As a result, an efficient solution is generated in the risk …

Mixed exponential distributions are frequently used in actuarial risk modeling. Distributions obtained through mixtures …

the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …

In actuarial science, collective risk models, in which the aggregate claim amount of a portfolio is defined in terms of … independent, even if this might not always be the case. We consider collective risk models with different dependence structures …. Due to the importance of such distributions in an actuarial setting, we first investigate a collective risk model with …

We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a … worst-case spectral risk measure of the loss with respect to the dependence between the factors. The MSP admits a …

is a risk-neutral Expected-Utility (EU) maximizer, the insured is a risk-averse EU-maximizer, and the two parties share …