Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed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

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