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Surplus Sharing with Coherent Utility Functions

1
Institut für Banking und Finance, Universität Zürich, Plattenstrasse 32, 8032 Zürich, Switzerland
2
Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
3
Institut für Mathematik, Universität Zürich, Winterthurerstrasse 190, 8057 Zürich, Switzerland
*
Author to whom correspondence should be addressed.
Received: 2 November 2018 / Revised: 20 December 2018 / Accepted: 27 December 2018 / Published: 10 January 2019
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Abstract

We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e., the shareholders. View Full-Text
Keywords: coherence; monetary utility; insurance benefit; benefit sharing coherence; monetary utility; insurance benefit; benefit sharing
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Coculescu, D.; Delbaen, F. Surplus Sharing with Coherent Utility Functions. Risks 2019, 7, 7.

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