Quantile-based risk sharing with heterogeneous beliefs

DOI10.1007/S10107-018-1313-1MaRDI QIDQ2189443zbMATH OpenOpenAlexWikidataFDO

Authors Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang

Publication date 15 June 2020

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-018-1313-1

zbMATH Keywords

quantilesrisk measurescompetitive equilibriumrisk sharingnon-convexitybelief heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Risk models (general) (91B05)

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Cites work

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• Equilibrium in risk-sharing games
• Extremal dependence concepts
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• Handbook on systemic risk
• Inf-convolution of risk measures and optimal risk transfer
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Modeling, measuring and managing risk
• Multistage stochastic optimization
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Optimal risk sharing with different reference probabilities
• Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
• Quantitative risk management. Concepts, techniques and tools
• Seven proofs for the subadditivity of expected shortfall
• Some remarks on the value-at-risk and the conditional value-at-risk
• Stochastic finance. An introduction in discrete time.
• Subdifferential representations of risk measures

Cited in

(26)

• The strong Fatou property of risk measures
• Inf-convolution and optimal allocations for mixed-VaRs
• On the elicitability of range value at risk
• Systemic optimal risk transfer equilibrium
• Reinsurance games with two reinsurers: tree versus chain
• Risk sharing for capital requirements with multidimensional security markets
• Sharing risk -- an economic perspective
• Weighted comonotonic risk sharing under heterogeneous beliefs
• Inf-convolution and optimal risk sharing with countable sets of risk measures
• Multivariate systemic optimal risk transfer equilibrium
• Characterizing optimal allocations in quantile-based risk sharing
• Are reference measures of law-invariant functionals unique?
• On measures, pricing and sharing of risk
• When \(q\) theory meets large losses risks and agency conflicts
• Sharing the value‐at‐risk under distributional ambiguity
• Risk sharing under heterogeneous beliefs without convexity
• Bilateral risk sharing with heterogeneous beliefs and exposure constraints
• Competitive equilibria in a comonotone market
• Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
• Special issue: On the interface between optimization and probability
• Collective dynamic risk measures
• Pairwise counter-monotonicity
• Group cohesion under individual regulatory constraints
• Quantile-based risk sharing
• Equilibria and efficiency in a reinsurance market
• A numerical approach for a class of risk-sharing problems

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Uses Software

• QRM

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