Robust optimal risk sharing and risk premia in expanding pools

DOI10.1016/j.insmatheco.2016.05.012zbMath1371.91095arXiv1601.06979MaRDI QIDQ2520446

Roger J. A. Laeven, Gregor Svindland, Thomas Knispel

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.06979

zbMATH Keywords

Pareto optimality; ambiguity; risk premia; risk sharing; convex risk measures; robust preferences; large pools

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B06: Decision theory

91B16: Utility theory

Related Items

Quantile-Based Risk Sharing, The average risk sharing problem under risk measure and expected utility theory, Budget-constrained optimal insurance without the nonnegativity constraint on indemnities, The fundamental theorem of mutual insurance

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