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https://doi.org/10.2139/ssrn.5...
Article . 2025 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2025
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Compensation-Based Risk-Sharing

Authors: Dhaene, Jan; Chaudhry, Atibhav; Cheung, Ka Chun; Riis-Due, Austin;

Compensation-Based Risk-Sharing

Abstract

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 the participants, an administrator manages the fund by collecting ex-ante contributions to establish the fund and distributing ex-post payouts to members. Two types of administrators are considered. An 'active' administrator both invests in the fund and receives the payout of the fund when no participant receives a payout. A 'passive' administrator performs only administrative tasks and neither invests in nor receives a payout from the fund. We analyze the actuarial fairness of both compensation-based risk-sharing schemes and provide general conditions under which fairness is achieved. The results extend earlier work by Denuit and Robert (2025) and Dhaene and Milevsky (2024), who focused on payouts based on Bernoulli distributions, by allowing for general non-negative loss distributions.

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Keywords

FOS: Economics and business, Risk Management, General Economics (econ.GN), Economics, Risk Management (q-fin.RM), General Economics

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green