On the optimality of linear residual risk sharing
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260001869 | ||
| 003 | MAP | ||
| 005 | 20260202112452.0 | ||
| 008 | 260130e20250915bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20260001456$aYang, Jiajie | ||
| 245 | 1 | 0 | $aOn the optimality of linear residual risk sharing$cJiajie Yang and Wei Wei |
| 520 | $aThis paper investigates optimal risk-sharing in peer-to-peer insurance. Using total variance minimization as the objective, the authors show that the optimal allocation is linear but must be applied to residual risks rather than to original risks, improving efficiency and robustness relative to classical linear models. The study further incorporates market-motivated constraintssuch as variance reduction and retention consistencyand demonstrates that the residual linear structure remains optimal under these requirements. The resulting strategies promote fairness, participation incentives, and sustainability. Several related optimization problems are unified within this framework, and empirical case studies illustrate the practical advantages of the proposed residual risk-sharing model. | ||
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20240019037$aSeguros P2P | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20190012829$aEquidad actuarial | |
| 700 | 1 | $0MAPA20180014345$aWei, Wei | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g15/09/2025 Volume 55 Issue 3 - September 2025 , p. 514 - 536$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |