Competitive equilibria in a comonotone market
From MaRDI portal
Publication:2074058
DOI10.1007/s00199-020-01319-4zbMath1482.91123OpenAlexW2782977396MaRDI QIDQ2074058
Tim J. Boonen, Ruodu Wang, Fangda Liu
Publication date: 4 February 2022
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-020-01319-4
Related Items
Bowley vs. Pareto optima in reinsurance contracting ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Equilibria and efficiency in a reinsurance market ⋮ BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
Cites Work
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- Financial market equilibria with cumulative prospect theory
- Pricing rules and Arrow-Debreu ambiguous valuation
- Asset market equilibrium in infinite dimensional complete markets
- On comonotonicity of Pareto optimal risk sharing
- Risk aversion in the theory of expected utility with rank dependent probabilities
- Advances in prospect theory: cumulative representation of uncertainty
- Non-additive measure and integral
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Axiomatic characterization of insurance prices
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Arbitrage, duality and asset equilibria
- Pareto-optimal reinsurance arrangements under general model settings
- Optimal risk sharing under distorted probabilities
- Quantile-based risk sharing with heterogeneous beliefs
- Equilibrium in risk-sharing games
- Intertemporal equilibria with Knightian uncertainty
- Inf-convolution of risk measures and optimal risk transfer
- Cumulative prospect theory and the St. Petersburg paradox
- Coherent Measures of Risk
- Mathematical Risk Analysis
- Existence and Uniqueness of Equilibria When Preferences are Additively Separable
- OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES
- Risk Exchange with Distorted Probabilities
- Egalitarian-Equivalent Cost Sharing of a Public Good
- Arbitrage and the Existence of Competitive Equilibrium
- Asset Market Equilibrium with Short-Selling
- Serial Cost Sharing
- Integral Representation Without Additivity
- Three Solutions to the Pricing Kernel Puzzle*
- COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
- OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
- RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES
- The Dual Theory of Choice under Risk
- Pareto Equilibria with coherent measures of risk
- Quantile-Based Risk Sharing
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
- Equilibria Under Knightian Price Uncertainty
- Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting
- Optimal insurance under rank‐dependent utility and incentive compatibility
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Equilibrium in a Reinsurance Market
- ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
- Existence of an Equilibrium for a Competitive Economy
