Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/103612 
Year of Publication: 
2013
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 1 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2013 [Pages:] 45-56
Publisher: 
MDPI, Basel
Abstract: 
This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how effective the presented mathematical tools may be. It is also illustrated how the existence of huge disasters may lead to wrong solutions of our optimal risk sharing problem, in the sense that the involved risk measure could ignore the existence of a non-null probability of 'global ruin' after the design of the optimal risk sharing strategy. To overcome this caveat, one can use more conservative risk measures. The stability in the large of the optimal sharing plan guarantees that 'the global ruin caveat' may be also addressed and solved with the presented methods.
Subjects: 
optimal reinsurance
general risk measure
risk sharing
systemic risk
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size
204.53 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.