LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING
LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING
复制标题
条件平均风险分担的大损失行为
DOI：
--
复制
发表时间：
2020
期刊：
影响因子：
--
通讯作者：
C. Robert
中科院分区：
文献类型：
--
作者：
M. Denuit;C. Robert
我们考虑 Denuit 和 Dhaene (2012) 定义的保险池的条件平均风险分配。准确地说，我们研究了当池的总损失趋于无穷大时，参与者各自相对贡献的渐近行为。 Denuit（2019）中的数值说明表明，条件平均风险分担规则的应用可能会在总损失分布的尾部产生线性分担。本文研究了这一经验发现在由复合二项式、复合泊松和具有 Gamma 或 Pareto 严重性的复合负二项式和组成的复合 Panjer-Katz 和类中的有效性。事实证明，这种行为通常并不成立，因为在总损失较大的情况下，一项可能会主导其他项。
We consider the conditional mean risk allocation for an insurance pool, as defined by Denuit and Dhaene (2012). Precisely, we study the asymptotic behavior of the respective relative contributions of the participants as the total loss of the pool tends to infinity. The numerical illustration in Denuit (2019) suggests that the application of the conditional mean risk sharing rule may produce a linear sharing in the tail of the total loss distribution. This paper studies the validity of this empirical finding in the class of compound Panjer–Katz sums consisting of compound Binomial, compound Poisson, and compound Negative Binomial sums with either Gamma or Pareto severities. It is demonstrated that such a behavior does not hold in general since one term may dominate the other ones conditional of large total loss.