Optimal Risk-Sharing When Risk Preferences are Uncertain

DOI10.2307/2582518MaRDI QIDQ3743044zbMATH OpenOpenAlexFDO

Authors Pamela Clark Brown

Publication date 1987

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2582518

zbMATH Keywords

buyercontractoroptimal risk-sharing arrangement

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Bilateral risk sharing with heterogeneous beliefs and exposure constraints
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• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

Cited in

(15)

• Optimal risk sharing with different reference probabilities
• A note on optimal risk sharing on $L^p$ spaces
• A collective investment problem in a stochastic volatility environment: the impact of sharing rules
• Optimal risk sharing with background risk
• Robust optimal risk sharing and risk premia in expanding pools
• Bilateral risk sharing in a comonotone market with rank-dependent utilities
• Range contracts: risk sharing and beyond
• Partnership's profit sharing: linear and nonlinear contracts
• Optimal risk-sharing under mutually singular beliefs
• Partnership's profit sharing: linear and nonlinear contracts
• Effective risk aversion in thin risk‐sharing markets
• Vertical control, opportunism, and risk sharing
• Characterizing optimal allocations in quantile-based risk sharing
• On comonotonicity of Pareto optimal risk sharing
• Sharing risk through concession contracts

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