Competitive equilibria with distortion risk measures
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Cites work
- Allocation of risks and equilibrium in markets with finitely many traders
- Ambiguity aversion and trade
- Axiomatic characterization of insurance prices
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Coherent measures of risk
- Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
- Dynamic capital allocation with distortion risk measures
- Efficient allocations under ambiguity
- Equilibrium in a Reinsurance Market
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- Exchanges and measures of risks
- Existence and uniqueness of equilibrium in a reinsurance syndicate
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Non-additive measure and integral
- On comonotonicity of Pareto optimal risk sharing
- On convex risk measures on \(L^{p}\)-spaces
- On optimal allocation of risk vectors
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- Optimal capital and risk allocations for law- and cash-invariant convex functions
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal risk sharing under distorted probabilities
- Optimal risk sharing with non-monotone monetary functionals
- Optimal risk transfers in insurance groups
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
- Pareto Equilibria with coherent measures of risk
- Risk Exchange with Distorted Probabilities
- Risk Measures and Comonotonicity: A Review
- Sharing risk and ambiguity
- Subjective Probability and Expected Utility without Additivity
- The Dual Theory of Choice under Risk
Cited in
(22)- Distortion risk measures, ROC curves, and distortion divergence
- Optimal initial capital induced by the optimized certainty equivalent
- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
- Competitive equilibria in a comonotone market
- Similar risks have similar prices: a useful and exact quantification
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- On risk averse competitive equilibrium
- Bilateral risk sharing in a comonotone market with rank-dependent utilities
- Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Potential games with aggregation in non-cooperative general insurance markets
- Risk redistribution games with dual utilities
- Risk sharing with expected and dual utilities
- An economic premium principle under the dual theory of the smooth ambiguity model
- Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- Bowley vs. Pareto optima in reinsurance contracting
- Equilibria and efficiency in a reinsurance market
- Axiomatic risk sharing and capital allocation
- An asymptotic approach to centrally planned portfolio selection
- Systemic optimal risk transfer equilibrium
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