Article
Version 1
Preserved in Portico This version is not peer-reviewed
Surplus Sharing with Coherent Utility Functions
Version 1
: Received: 2 November 2018 / Approved: 2 November 2018 / Online: 2 November 2018 (15:13:14 CET)
A peer-reviewed article of this Preprint also exists.
Coculescu, D.; Delbaen, F. Surplus Sharing with Coherent Utility Functions. Risks 2019, 7, 7. Coculescu, D.; Delbaen, F. Surplus Sharing with Coherent Utility Functions. Risks 2019, 7, 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.
Keywords
coherence, monetary utility, insurance benefit, benefit sharing
Subject
Computer Science and Mathematics, Probability and Statistics
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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