arXiv subjects

Sooie-Hoe Loke

Publications and source records attributed to Sooie-Hoe Loke.

3 recordsLinked to original sources

arXiv2026

Optimal Risk-Sharing Rules in Network-based Decentralized Insurance

This paper studies decentralized risk-sharing on networks. In particular, we consider a model where agents are nodes in a given network structure. Agents directly connected by edges in the network are referred to as friends. We study actuarially fair risk-sharing under the assumption that only friends can share risk, and we characterize the optimal signed linear risk-sharing rule in this network setting. Subsequently, we consider a special case of this model where all the friends of an agent take on an equal share of the agent's risk, and establish a connection to the graph Laplacian. Our results are illustrated with several examples.

math.OC↗

arXiv2026

On the Impact of Insurance on Households Susceptible to Random Proportional Losses: An Analysis of Poverty Trapping

The trapping probability, $ψ$, as defined in Kovacevic and Pflug (2011), is modelled by assuming proportional capital losses, both in the case where there is no insurance and in the case where insurance is purchased by the household. Insurance coverage is likewise proportional, mirroring the structure of quota-share contracts, which are both prevalent in practice and analytically convenient. New closed formulae for $ψ$ are obtained in the case of no insurance when the distribution of the remaining proportion of capital is a power law, extending the results in Kovacevic and Pflug (2011). When proportional insurance is acquired and the remaining proportion of capital is uniformly distributed on $[0,1]$, $ψ$ satisfies a non-local differential equation whose analysis is based on the properties of diffusion processes. The non-local nature of the equation can be addressed using iterative solution methods, leading to a constructive determination of the trapping probability. Constraints on the parameters governing the capital process are derived in both the uninsured and insured cases to prevent the certainty of trapping. Numerical calculations are used to determine the trapping probability for the insured process and to illustrate the impact of different parameters. Consequences on the trapping probability for vulnerable non-poor populations with initial capital slightly above the poverty line are discussed.

q-fin.RM↗

arXiv2024

Subsidising Inclusive Insurance to Reduce Poverty

In this article, we assess the benefits of coordination and partnerships between governments and private insurers, and provide further evidence for microinsurance products as powerful and cost-effective tools for achieving poverty reduction. To explore these ideas, we model the capital of a household from a ruin-theoretic perspective to measure the impact of microinsurance on poverty dynamics and the governmental cost of social protection. We analyse the model under four frameworks: uninsured, insured (without subsidies), insured with subsidised constant premiums and insured with subsidised flexible premiums. Although insurance alone (without subsidies) may not be sufficient to reduce the likelihood of falling into the area of poverty for specific groups of households, since premium payments constrain their capital growth, our analysis suggests that subsidised schemes can provide maximum social benefits while reducing governmental costs.

stat.AP↗