Optimal risk sharing under distorted probabilities

DOI10.1007/s11579-009-0015-0zbMath1255.91182arXiv0809.3778OpenAlexW3102340514MaRDI QIDQ1932519

Michael Ludkovski, Virginia R. Young

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.3778

zbMATH Keywords

risk sharingcomonotonicitydistortion risk measuresPareto optimal allocations

Mathematics Subject Classification ID

Related Items (28)

On Pareto-optimal reinsurance with constraints under distortion risk measures ⋮ A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES ⋮ RISK SHARING WITH EXPECTED AND DUAL UTILITIES ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ Optimal risk transfers in insurance groups ⋮ Optimal insurance in the presence of reinsurance ⋮ Optimal risk sharing under distorted probabilities ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Peer-to-peer risk sharing with an application to flood risk pooling ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Efficient risk allocation within a non-life insurance group under Solvency II regime ⋮ OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION ⋮ Optimal risk sharing in insurance networks. An application to asset-liability management ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ Effects of Competition on Insurance Contract Formation ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ Pareto-optimal reinsurance policies in the presence of individual risk constraints ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ Bowley solution of a mean-variance game in insurance ⋮ The role of a representative reinsurer in optimal reinsurance ⋮ BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS ⋮ Competitive equilibria in a comonotone market

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