2321. Shapley risk sharing in peer-to-peer insurance
Invited abstract in session MA-9: Innovation in Insurance and Financial Risk Management, stream OR in Finance and Insurance .
Monday, 8:30-10:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Susanna Levantesi
|
| Sapienza University of Rome | |
| 2. | Gian Paolo Clemente
|
| Università Cattolica del Sacro Cuore | |
| 3. | Gabriella Piscopo
|
| University of Naples Federico II |
Abstract
Peer-to-peer (P2P) insurance is an innovative model that leverages digital technology to connect individuals with similar insurance needs, creating a pool to share risks.
This paper introduces a P2P insurance model in which participants pay an ex-ante contribution determined by the Shapley value, with Value-at-Risk of the aggregated claim amount used as the risk measure. We also evaluate the Tail Value-at-Risk as an alternative risk measure.
Based on common assumptions in non-life insurance regarding the aggregate claim amount, we derive closed-form solutions for the Shapley value. The model includes a cashback mechanism that ensures that all participants contribute equally to covering realized losses.
We apply the model numerically to a portfolio of motor third-party liability policies to illustrate its practical implementation.
Keywords
- Risk Analysis and Management
Status: accepted
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