Denuit, Michel
[UCL]
Robert, Christian Y.
[ENSAE, Paris, France]
Conditional mean risk sharing appears to be e_ective in collaborative insurance to distribute total losses among participants. This paper develops analytical results for this risk sharing rule when risks are zero-augmented random variables whose joint occurrences distributions and claim amount distributions are based on network structures and may be characterized by graphical models. More speci_cally we consider the Ising model for occurrences and decomposable graphical models for the claim amount structures. Such models are typically useful for modeling operational risk or cyber security risk.
Bibliographic reference |
Denuit, Michel ; Robert, Christian Y. . Conditional mean risk sharing for dependent risks using graphical models. ISBA Discussion Paper ; 2020/29 (2020) 22 pages |
Permanent URL |
http://hdl.handle.net/2078.1/235861 |