Surplus Sharing with Coherent Utility Functions
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-01-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/7/1/7 |
| _version_ | 1819278535792001024 |
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| author | Delia Coculescu Freddy Delbaen |
| author_facet | Delia Coculescu Freddy Delbaen |
| author_sort | Delia Coculescu |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-24T00:13:33Z |
| format | Article |
| id | doaj.art-42266150a0654a0bb470f3612d0a2e5f |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-24T00:13:33Z |
| publishDate | 2019-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-42266150a0654a0bb470f3612d0a2e5f2022-12-21T17:24:48ZengMDPI AGRisks2227-90912019-01-0171710.3390/risks7010007risks7010007Surplus Sharing with Coherent Utility FunctionsDelia Coculescu0Freddy Delbaen1Institut für Banking und Finance, Universität Zürich, Plattenstrasse 32, 8032 Zürich, SwitzerlandDepartement für Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, SwitzerlandWe 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.http://www.mdpi.com/2227-9091/7/1/7coherencemonetary utilityinsurance benefitbenefit sharing |
| spellingShingle | Delia Coculescu Freddy Delbaen Surplus Sharing with Coherent Utility Functions Risks coherence monetary utility insurance benefit benefit sharing |
| title | Surplus Sharing with Coherent Utility Functions |
| title_full | Surplus Sharing with Coherent Utility Functions |
| title_fullStr | Surplus Sharing with Coherent Utility Functions |
| title_full_unstemmed | Surplus Sharing with Coherent Utility Functions |
| title_short | Surplus Sharing with Coherent Utility Functions |
| title_sort | surplus sharing with coherent utility functions |
| topic | coherence monetary utility insurance benefit benefit sharing |
| url | http://www.mdpi.com/2227-9091/7/1/7 |
| work_keys_str_mv | AT deliacoculescu surplussharingwithcoherentutilityfunctions AT freddydelbaen surplussharingwithcoherentutilityfunctions |