Perspectives of Risk Sharing
This paper is primarily a review paper, where in 13 sections the author presents an overview of the various aspects connected with standard risk sharing models of reinsurance markets. The first 6 sections deal with topics such as basic risk-exchange models, Pareto optimality and representative agent pricing, including implications for insurance premiums. The author only touches on the problem of existence of the competitive equilibrium, primarily by presenting several examples. Risk tolerance and aggregation are the subject of the 7 th Section, while Section 8 is devoted to insurance premiums and Section 9 deals with the risk adjustments of a given probability measure. Section 10 gives the insurance version of capital asset pricing models, while Section 11 presents an alternative game theoretic approach to the risk allocation problem. Also, a short discussion of a moral hazard between an insurer and a prospective insurance buyer is included. Finally, the author finishes the paper by implications of the above mentioned results for a pure stock market. In particular, he demonstrates certain advantages of the approach based on optimal risk allocation theory for investigation of incomplete markets.
- A Limit Theorem on the Core of an Economy
- Arbitrage and the Existence of Competitive Equilibrium
- Equilibrium in a Reinsurance Market
- Equilibrium in CAPM without a Riskless Asset
- Existence of equilibrium in CAPM
- Existence Theorems in the Capital Asset Pricing Model
- Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
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- Justifying the First-Order Approach to Principal-Agent Problems
- On convex principles of premium calculation
- On the different notions of arbitrage and existence of equilibrium
- On the optimality of equilibrium when the market structure is incomplete
- Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing
- Risk exchange I: A unification of some existing results
- Risk exchange II: Optimal reinsurance contracts
- Risk Theory and Insurance Premiums
- The Price Equilibrium Existence Problem in Topological Vector Lattices
- Risk theory and serendipity
- Risk sharing with competition
- Risk capital allocation and cooperative pricing of insurance liabilities.
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Core of the reinsurance market with dependent risks
- Three environmental probabilistic risk problems
- A note on optimal risk sharing on $L^p$ spaces
- Optimal risk sharing with general deviation measures
- Optimal risk sharing under distorted probabilities
- Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
- Borch's theorem from the perspective of comonotonicity
- The economics of sharing macro-longevity risk
- Extended gradient of convex function and capital allocation
- Risk sharing with multiple indemnity environments
- Pareto-optimal insurance policies: the case of normal summary risk
- A Bowley solution with limited ceded risk for a monopolistic reinsurer
- Riskprice in (re-)insurance: an alternative model to the shortfall-loading
- An insurance network: Nash equilibrium
- Optimal decision rule in forming an insurance portfolio
- Pareto-optimal reinsurance policies with maximal synergy
- Globalization and Risk Sharing
- Two-agent Pareto optimal cooperative investment in general semimartingale model
- The center of a convex set and capital allocation
- scientific article; zbMATH DE number 3854747 (Why is no real title available?)
- Sharing catastrophe risk under model uncertainty
- Optimal portfolio delegation when parties have different coefficients of risk aversion
- Optimal retention levels, given the joint survival of cedent and reinsurer
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- Coupled projects, core imputations, and the CAPM
- Group Formation in Risk-Sharing Arrangements
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Optimal risk transfer: a numerical optimization approach
- Synergy effect of cooperative investment
- Large-loss behavior of conditional mean risk sharing
- Optimal risk control and dividend policies under excess of loss reinsurance
- An Industrial Organization Theory of Risk Sharing
- The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
- Non-parametric and parametric bootstrap techniques for age-to-age development factor methods in stochastic claims reserving
- A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
- Optimal joint survival reinsurance: an efficient frontier approach
- Pareto-optimal risk exchange in a continuous-time economy: application to target benefit pension
- Pareto efficiency and financial fairness under limited expected loss constraint
- Bowley-optimal convex-loaded premium principles
- Competitive equilibrium on risk exchanges: A constrained market approach
- The diversification theorem restated: risk-pooling without assignment of probabilities
- Excess of loss reinsurance under joint survival optimality
- Optimal insurance under the insurer's risk constraint
- On comonotonicity of Pareto optimal risk sharing
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