Centro de Documentacion de Fundación MAPFRE - Egalitarian Equivalent Capital Allocation

MAP20170035046

Egalitarian Equivalent Capital Allocation / Shinichi Kamiya, George Zanjani

Sumario: We apply Moulin's notion of egalitarian equivalent cost sharing of a public good to the problem of insurance capitalization and capital allocation where the liability portfolio is fixed. We show that this approach yields overall capitalization and cost allocations that are Pareto efficient, individually rational, and, unlike other mechanisms, stable in the sense of adhering to cost monotonicity

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 04/09/2017 Tomo 21 Número 3 - 2017 , p. 382-396

1. Cálculo actuarial . 2. Matemática del seguro . I. Zanjani, George . II. Título.