Surplus Sharing with Coherent Utility Functions

Risks

卷:7

Freddy Delbaen¹  Delia Coculescu² 

[1] Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland;

[2] Institut für Banking und Finance, Universität Zürich, Plattenstrasse 32, 8032 Zürich, Switzerland;

关键词: coherence;    monetary utility;    insurance benefit;    benefit sharing;   

DOI  :  10.3390/risks7010007

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown