Our paper Quantifying Portfolio Demutualization: A Benchmark-Relative Pooling-Profiling Scale, with Laurence Barry, is now online.
Insurance pricing combines pooling with differentiation: a tariff may leave benchmark differences in expected loss partly mutualized or translate them into policy-level premium differences. We propose a benchmark-relative pooling-profiling scale with two complementary coordinates. The coupled Lp coordinate measures policy-level alignment between an evaluated tariff and a stated benchmark pure premium, whereas the marginal Wasserstein coordinate compares their exposure-weighted premium distributions. The difference between their residual p-costs defines an allocation mismatch. Under portfolio balance, the coupled L^1 coordinate has an exact actuarial interpretation: it is the fraction of the transfer volume induced by full pooling that the tariff removes. Synthetic and motor-insurance applications show that broad classes, proxies, shrinkage and tail caps can affect marginal differentiation, policy-level allocation and transfers differently. A barycentric group-parity intervention further shows that conditional premium disparities can fall mainly through reallocation and restored benchmark-relative transfers, with little change in marginal differentiation.
I will actually present the paper at the PARI seminar, today… Slides are available online.
OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (September 21, 2026). Quantifying Portfolio Demutualization. Freakonometrics. Retrieved October 5, 2026 from https://doi.org/10.58079/16thk