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Surplus Sharing with Coherent Utility Functions


Coculescu, Delia; Delbaen, Freddy (2019). Surplus Sharing with Coherent Utility Functions. Risks, 7(1):7.

Abstract

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.

Abstract

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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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:1 January 2019
Deposited On:11 Jan 2019 14:32
Last Modified:17 Sep 2019 19:52
Publisher:MDPI Publishing
ISSN:2227-9091
OA Status:Green
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.3390/risks7010007
Other Identification Number:merlin-id:17235

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