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Open AccessArticle

Surplus Sharing with Coherent Utility Functions

Institut für Banking und Finance, Universität Zürich, Plattenstrasse 32, 8032 Zürich, Switzerland
Departement für Mathematik, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
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
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
MDPI and ACS Style

Coculescu, D.; Delbaen, F. Surplus Sharing with Coherent Utility Functions. Risks 2019, 7, 7.

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