Surplus sharing with coherent utility functions
Mathematical Finance
2018-11-07 v1 Risk Management
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.
Cite
@article{arxiv.1811.02530,
title = {Surplus sharing with coherent utility functions},
author = {Delia Coculescu and Freddy Delbaen},
journal= {arXiv preprint arXiv:1811.02530},
year = {2018}
}