An axiomatic characterization of the quantile risk-sharing rule
This paper studies the quantile risk-sharing rule introduced in Denuit, Dhaene & Robert (2022). New properties are investigated and an axiomatic theory is developed. The axiomatic characterization of this risk-sharing rule is based on aggregate and comonotonicity-related prop erties of risk-sharing rules. Numerical examples illustrate how this rule allocates losses among participants.
Authors
- Michel Denuit (ORCID: https://orcid.org/0000-0001-6787-9177)
- Jan Dhaene (ORCID: https://orcid.org/0000-0003-4314-8809)
- Christian Y. Robert (ORCID: https://orcid.org/0000-0002-1562-5658)
- Ka Chun Cheung
Institutions
- ENSAE Paris (FR)
- University of Hong Kong (HK)
- UCLouvain (BE)
Publication Details
- Journal
- Scandinavian Actuarial Journal
- Published
- 2025-05-05
- DOI
- https://doi.org/10.1080/03461238.2025.2498389
- Citations
- 2
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 4.21
Funders
- Fonds De La Recherche Scientifique - FNRS
- Fonds Wetenschappelijk Onderzoek