4 papers
Capital-Allocation-Induced Risk Sharing
Wing Fung Chong, Runhuan Feng, Kenneth Tsz Hin Ng
This article proposes a new class of risk-sharing rules by exploring the relationship between capital allocation and risk sharing. While the former is concerned with ex-ante alloca…
Pareto and Bowley Reinsurance Games in Peer-to-Peer Insurance
Tim J. Boonen, Kenneth Tsz Hin Ng, Tak Wa Ng +1
We propose a peer-to-peer (P2P) insurance scheme comprising a risk-sharing pool and a reinsurer. A plan manager determines how risks are allocated among members and ceded to the re…
Forward Performance Processes under Multiple Default Risks
Wing Fung Chong, Roxana Dumitrescu, Gechun Liang +1
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forwa…
Mean Field Analysis of Mutual Insurance Market
Bohan Li, Wenyuan Li, Kenneth Tsz Hin Ng +1
A mutual insurance company (MIC) is a type of consumer cooperative owned by its policyholders. By purchasing insurance from an MIC, policyholders effectively become member-owners o…