Centro de Documentacion de Fundación MAPFRE - Optimal design of fixed and variable costs in peer-to-peer insurance with heterogeneous risk

Notes: Sumario: This paper studies the optimal design of peer-to-peer (P2P) insurance when heterogeneous participants jointly finance a common fund and purchase external insurance for tail risks. The total cost is decomposed into a fixed premium for outside coverage and a variable, potentially refundable deposit used for internal risk sharing. Using a mean-variance objective, the authors derive closed-form optimal sharing rules and characterize their properties, both with and without individual-rationality constraints. The paper also determines the optimal level of the common deposit and provides numerical illustrations. The results offer a rigorous foundation for designing equitable and efficient P2P insurance mechanisms in heterogeneous groups.Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 721 - 746Materia / lugar / evento: Mercado de seguros Peer to peer insurance Costes Equidad actuarial Cálculo actuarial Modelos matemáticos Matemática del seguro Otros autores: Chen, Ze
Hu, Wentao
International Actuarial Association
Other categories: 6

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