Department seminar by Christian Y. RobertExport this event to calendar

Friday, September 24, 2021 — 10:00 AM EDT

Please Note: This seminar will be given online.

Actuarial Science and Financial Mathematics seminar series

Christian Y. Robert
École nationale de la statistique et de l'administration économique Paris (ENSAE)

Link to join seminar: Hosted on Zoom

Conditional mean risk sharing in the individual model for dependent losses


The conditional mean risk sharing rule for insurance losses, as defined by Denuit and Dhaene (2012), provides actuaries with an effective method to deal with collaborative insurance pools or mutual aid funds. This talk considers the case when participants’ losses are dependent. Some examples of multivariate distributions for which it is possible to obtain explicit formulas for the individual contributions are first presented. Two frameworks are then discussed where analytical formulas are derived and numerical or simulation approaches are developed to evaluate the contributions: the conditionally independent risks model and the model with graphical dependencies.

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