A0536
Title: Shapley risk sharing in peer-to-peer insurance
Authors: Susanna Levantesi - Sapienza University of Rome (Italy) [presenting]
Gian Paolo Clemente - Universita Cattolica del Sacro Cuore (Italy)
Gabriella Piscopo - University of Naples Federico II (Italy)
Abstract: Peer-to-peer (P2P) insurance is an innovative model that leverages digital technology to connect individuals with similar insurance needs, forming a pool to share risks. A P2P insurance framework is introduced in which participants pay an ex-ante contribution determined by the Shapley value, where the value-at-risk of the difference between the expected and realized total loss of the network (i.e., profit and loss) is used as the risk measure. Under standard assumptions commonly used in non-life insurance for the aggregate claim amount, closed-form expressions are derived for the Shapley value. The model includes a cashback mechanism to ensure that all participants contribute equally to covering realized losses. The practical implementation of the model is demonstrated by applying it to a portfolio of motor other damage insurance policies.
