Multi-period peer-to-peer risk sharing

Abdikerimova, Samal; Boonen, Tim J.; Feng, Runhuan

doi:10.2139/ssrn.4065099

Cited by 6 publications

(4 citation statements)

References 21 publications

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“…It should also be emphasized that the proposed risk‐sharing framework herein is for centralized insurance markets. This is in contrast to the recent developments in decentralized and peer‐to‐peer insurance, such as Abdikerimova et al (2024), Denuit and Dhaene (2012), Denuit et al (2023, 2022), Denuit and Robert (2022), Feng, Liu, and Taylor (2022), and Feng, Liu, and Zhang (2022).…”

Section: Introductionmentioning

confidence: 76%

Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk

Boonen,

Chong,

Ghossoub

2024

J of Risk & Insurance

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Centralized insurance can be found in both the private and public sectors. This paper provides a microeconomic study of the risk‐sharing mechanisms in these markets, where multiple policyholders interact with a centralized monopolistic insurer. With minimal assumptions on the risk preferences of the market participants, we characterize Pareto optimality in terms of the agents' risk positions and their assessment of the likelihoods associated with their loss tail events. We relate Pareto efficiency in this market to a naturally associated cooperative game. Based on our theoretical results, we then consider a model of flood insurance coverage via an illustrative example. The lessons drawn from our theoretical results and this example lead to important policy implications for the existing National Flood Insurance Program in the United States.

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Section: Introductionmentioning

confidence: 76%

Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk

Boonen,

Chong,

Ghossoub

2024

J of Risk & Insurance

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“…In addition, their result shows that the proposed approach is the best for cost optimization and time minimization through an artificial neural network. Furthermore, in 2022, Abdikerimova, et al [4] designed their problem as a risksharing strategy that is based on mean-variance optimizations of participants' terminal reserves.…”

Section: Literature Reviewmentioning

confidence: 99%

Cooperative Investment Problem With an Authoritative Risk Determined by Central Bank

Almualim

2024

Int. J. Anal. Appl.

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In this paper, we are interested in providing an analytic solution for cooperative investment risk. We reformulate cooperative investment risk by writing dual representations for each risk preference (Coherent risk measure). Finding an analytic solution for this problem for both cases individual and cooperative investment by using dual representation for each risk preference has a strong effect on the financial market. In addition, we formulate a problem that covers the risk minimization with an expected return maximization problem with risk constraint, for the general case of an arbitrary joint distribution for the asset return under certain conditions and assuming that all coherent risk measure is continuous from below. Thus, the optimal portfolio is written as the optimal Lagrange multiplier associated with an equality-constrained dual problem. Furthermore, a unique equilibrium allocation as a fair optimal allocation solution in terms of equilibrium price density function for each agent is also shown.

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“…Abdikerimova and Feng [1] proposed a variety of P2P models for peers with different needs, so that they can exchange a variety of risks in a fair and transparent actuarial way. In addition, Abdikerimova et al [2] considered the P2P risk sharing in both the dynamic and the static settings. Domestic network mutual aid and foreign P2P insurance have strong reference significance in terms of sharing methods, pricing rules, and relative fairness.…”

Section: P2p Insurance and Risk Sharingmentioning

confidence: 99%

Optimal design for network mutual aid

Fang²,

Nie³

et al. 2022

Prob. Eng. Inf. Sci.

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Network mutual aid platforms is one of the popular risk-sharing models in recent years, and they have almost 200 million members in China. However, current mutual aid platforms does not satisfy the actuarial rules in either the apportionment method or the pricing principle. Hence, a variety of mutual aid models which enable mutual aid members with different risks to exchange their risks in a transparent and actuarial fair way have been proposed in this paper. Besides, the decision-making frameworks for participants choosing between the mutual aid platform and similar insurance products, or choosing no risk sharing are constructed, respectively. Decisions are made based on the principle of maximizing expected utility. Moreover, the optimization problems of maximizing profit and minimizing risk are constructed, respectively. Through the principle of individual fairness and relative fairness, the problem of adverse selection of the platform can also be reduced. Finally, the actual mutual aid plan is compared with similar insurance products to discuss the advantages of the optimized plan.

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Multi-period peer-to-peer risk sharing

Cited by 6 publications

References 21 publications

Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk

Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk

Cooperative Investment Problem With an Authoritative Risk Determined by Central Bank

Optimal design for network mutual aid

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