3 papers
q-fin.RM2025
Compensation-based risk-sharing
Jan Dhaene, Atibhav Chaudhry, Ka Chun Cheung +1
This paper studies the mathematical problem of allocating payouts (compensations) in an endowment contingency fund using a risk-sharing rule that satisfies full allocation. Besides…
econ.GN2024
Axiomatic characterizations of some simple risk-sharing rules
Jan Dhaene, Rodrigue Kazzi, Emiliano A. Valdez
In this paper, we present axiomatic characterizations of some simple risk-sharing (RS) rules, such as the uniform, the mean-proportional and the covariance-based linear RS rules. T…
q-fin.RM2024
'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'
Jan L. M. Dhaene, Moshe A. Milevsky
There is little disagreement among insurance actuaries and financial economists about the societal benefits of longevity-risk pooling in the form of life annuities, defined benefit…