Multiperiod peer‐to‐peer risk sharing
首次研究多期对等风险分担机制，基于二次效用帕累托优化设计策略，发现最优分配由长期极限和两个修正项构成，并探讨精算公平的影响。
Abstract Risk sharing has been practiced in various forms in the financial industry. This paper is the first to study both dynamic and static risk‐sharing mechanisms for a group of participants over multiple periods. The design of risk‐sharing strategies is based on the Pareto optimization of quadratic utilities of participants' reserves. Such a framework builds a connection between portfolio optimization in the finance literature and that for risk sharing in the insurance literature. Building on the most common form of reinsurance—pro rata treaties, we propose a peer‐to‐peer (P2P) network for risk sharing. Assuming independent multivariate losses over time, we find that the optimal risk‐sharing allocation exhibits a three‐component structure with the long‐term limit and two correction terms. This allows us to show convergence of the risk‐sharing solution and the ratios of long‐term reserves. Furthermore, we study the impact of actuarial fairness on various risk‐sharing strategies and their long‐term limits.