Optimal risk sharing with background risk
From MaRDI portal
Publication:2370496
DOI10.1016/j.jet.2005.10.002zbMath1280.91092MaRDI QIDQ2370496
Marco Scarsini, Rose-Anne Dana
Publication date: 26 June 2007
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://basepub.dauphine.fr/handle/123456789/698
60K10: Applications of renewal theory (reliability, demand theory, etc.)
Related Items
OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS, Allocation of risks and equilibrium in markets with finitely many traders, Optimal capital and risk allocations for law- and cash-invariant convex functions, Optimal risk sharing with non-monotone monetary functionals
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Inequalities for distributions with given marginals
- Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
- Preservation of More risk averse under expectations
- Who buys and who sells options: the role of options in an economy with background risk
- On risk aversion with two risks
- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
- Background risk and the demand for state-contingent claims
- A Schur concave characterization of risk aversion for non-expected utility preferences
- Rearrangement inequalities in non-convex insurance models
- Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results
- Proper Risk Aversion
- Risk Aversion with Random Initial Wealth
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- A Theory of Auctions and Competitive Bidding
- Optimal insurance and generalized deductibles
- Inequalities for E k(X, Y) when the marginals are fixed
- Monotone Comparative Statics
- Monotone Comparative Statics under Uncertainty
- Optimal design of derivatives in illiquid markets*
- Changes in Background Risk and Risk Taking Behavior
- Risk Vulnerability and the Tempering Effect of Background Risk
- Standard Risk Aversion
- Some Concepts of Dependence
- Association of Random Variables, with Applications
- Equilibrium in a Reinsurance Market
- An Inequality for Rearrangements
