Full Professor in Actuarial Science with the Research Centre Insurance, Department Accountancy, Finance and Insurance at the Faculty of Economics and Business, KU Leuven, Belgium.
Title:Decentralized risk sharing: pooling risks without a central insurer
Abstract:In this talk, we give an overview of some recent results on decentralized risk-sharing, which is an alternative for the centralized insurance approach. We consider risk-sharing pools where each participant is compensated from the pool for his loss and pays in return an ex-post contribution to the pool. The contributions of the participants follow from an appropriate risk-sharing rule, which is chosen such that the pool is self-financing. Decentralized risk-sharing revives early forms of mutual insurance and has been applied for centuries in traditional communities. The recent interest in a sharing economy, collaborative consumption and decentralized finance, together with recent advances in technology have made decentralized risk-sharing a viable candidate to disrupt the traditional insurance sector. We introduce and discuss a list of relevant properties of risk-sharing rules. A number of candidate risk-sharing rules are considered, including the simple uniform risk-sharing rule, as well as the conditional mean risk-sharing rule and the quantile risk-sharing rule. Their compliance with the proposed properties is investigated. Also, axiomatic characterizations of the above-mentioned risk-sharing rules are considered.
Biography: Jan Dhaene is a full professor in actuarial science with the Research Centre Insurance, Department Accountancy, Finance and Insurance at the Faculty of Economics and Business, KU Leuven, Belgium. His main current research interests are in risk management for financial institutions, integrating financial and actuarial models and decentralized risk-sharing. He has published over 150 scientific papers in refereed journals. Together with R. Kaas, M. Goovaerts and M. Denuit, he is co-author of ‘Modern Actuarial Risk Theory’ (Kluwer, 2001), ‘Modern Actuarial Risk Theory – Using R’ (Springer, 2008), ‘Actuarial Theory for Dependent Risks – Measures, Orders and Models’ (Wiley, 2005). He has been co–chair holder of the Fortis Chair in Financial and Actuarial Risk Management (2006- 2009) and chairholder of the AG Insurance Chair in Health Insurance (2010-2019) at KU Leuven. He has held visiting appointments and/or has been teaching at University of Antwerp (Belgium), University of Ghent (Belgium), University of Amsterdam (The Netherlands), Warsaw University (Poland), University of the Free State (Bloemfontein, South Africa), University of Sao Paulo (Brasil), University of New South Wales (Sydney, Australia), University of Ljubljana (Slovenia), Université de Lausanne (Switzerland), Duisenberg School of Finance (Amsterdam, The Netherlands), Institut Supérieur de Management Adonaï (Cotonou, Benin), Université d’Abomey-Kalavi (Cotonou, Benin), Central University of Finance and Economics (Beijing, China), Tsinghua University (Beijing, China), University of Turin (Turin, Italy), Universitas Padjadjaran (Bandung, Indonesia), Kyoto University (Kyoto, Japan), University of Bologna (Bologna, Italy) and University of International Business and Economics (Beijing, China). He is an Associate Editor of Insurance: Mathematics & Economics (since 2000), a member of the Editorial Board of ASTIN Bulletin (since 2007), Advisory Editor of Journal of Computational and Applied Mathematics (since 2008), Associate Editor of Istatistik, Journal of the Turkish Statistical Association (since 2012) and Associate Editor of North American Actuarial Journal (since 2019). He is a member of IA|BE (Institute of Actuaries of Belgium) and I.A.A. (International Actuarial Association).
