.png){kind=icon}
.png){kind=icon}
Return
Ri sk sharing with multiple indemnity environments
.png){kind=icon}
OA
AI
DOI：10.1016/j.ejor.2021.03.012.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
Optimal risk sharing arrangements have been substantially studied in the literature, from the aspects of generalizing objective functions, incorporating more business constraints, and investigating different optimality criteria. This paper proposes an insurance model with multiple risk environments. We study the case where the two agents are endowed with the Value-at-Risk or the Tail Value-at-Risk, or when both agents are risk-neutral but have heterogeneous beliefs regarding the underlying probability distribution. We show that layer-type indemnities, within each risk environment, are Pareto optimal, which may be environment-specific. From Pareto optimality, we get that the premium can be chosen in a given interval, and we propose to allocate the gains from risk sharing equally between the buyer and seller. (c) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )
Keywords:
Risk management
Optimal insurance
Multiple risk environments
Value-at-Risk
Tail Value-at-Risk
Heterogeneous beliefs
Environment-specific layer indemnities
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
6
Papers:
2.2W
Citations:
6.4W
Organization
View more organizations