Centro de Documentacion de Fundación MAPFRE - Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures

Notas: Sumario: They study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. They obtain a characterization of Pareto-optimal allocations of the aggregate risk in the market, and we show that the shape of the allocations depends primarily on each agent's assessment of the tail of the aggregate risk. They quantify the latter via an index of probabilistic risk aversion, and we illustrate our results using concrete examples of popular families of distortion functions. As an application of our results, we revisit the market for flood risk insurance in the United States. They present the decentralized risk sharing arrangement as an alternative to the current centralized market structure, and we characterize the optimal allocations in a numerical study with historical flood data. They conclude with an in-depth discussion of the advantages and disadvantages of a decentralized insurance scheme in this settingRegistros relacionados: 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. 537 - 563Materia / lugar / evento: Matemática del seguro Distribución de riesgos Peer to peer insurance Cálculo actuarial Modelos matemáticos Casos prácticos Riesgos meteorológicos Inundaciones Estados Unidos Otros autores: Zhu, Michael B.
Fung Chong, Wing
International Actuarial Association
Otras clasificaciones: 6

Derechos: In Copyright (InC)

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