Egalitarian equivalent capital allocation. (English) Zbl 1414.91206

Summary: We apply Moulin’s notion of egalitarian equivalent cost sharing of a public good to the problem of insurance capitalization and capital allocation where the liability portfolio is fixed. We show that this approach yields overall capitalization and cost allocations that are Pareto efficient, individually rational, and, unlike other mechanisms, stable in the sense of adhering to cost monotonicity.


91B30 Risk theory, insurance (MSC2010)
91B18 Public goods
91B32 Resource and cost allocation (including fair division, apportionment, etc.)
Full Text: DOI


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