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MAPA20080096434
Denuit, Michel
Large-loss behavior of conditional mean risk sharing
Michel Denuit, Christian Y. Robert
We consider the conditional mean risk allocation for an insurance pool, as defined by Denuit and Dhaene (2012). Precisely, we study the asymptotic behavior of the respective relative contributions of the participants as the total loss of the pool tends to infinity. The numerical illustration in Denuit (2019) suggests that the application of the conditional mean risk sharing rule may produce a linear sharing in the tail of the total loss distribution. This paper studies the validity of this empirical finding in the class of compound PanjerKatz sums consisting of compound Binomial, compound Poisson, and compound Negative Binomial sums with either Gamma or Pareto severities. It is demonstrated that such a behavior does not hold in general since one term may dominate the other ones conditional of large total loss.
MAPA20080548575
Pérdidas
MAPA20080591182
Gerencia de riesgos
MAPA20080610319
Distribución de riesgos
MAPA20080576738
Método de Panjer
MAPA20080579258
Cálculo actuarial
MAPA20090041721
Distribución Poisson-Beta
MAPA20080650308
Robert, Christian Y.
MAP20077000420
01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 1093-1122
0515-0361
Astin bulletin
Belgium : ASTIN and AFIR Sections of the International Actuarial Association