Risk sharing under the mean-variance expected utility

zbMATH Open1199.91083MaRDI QIDQ3403786FDOQ3403786

Authors: Tiejun Jiang, Lu Xia, Bing Cheng, Xiaolun Mao 

Publication date: 12 February 2010

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zbMATH Keywords

risk sharingrisk allocationrisk adding

Mathematics Subject Classification ID

Utility theory (91B16)

Cited In (15)

• The average risk sharing problem under risk measure and expected utility theory
• Risk allocation through shapley decompositions, with applications to variable annuities
• Optimal risk-sharing under mutually singular beliefs
• Restrictions and identification in a multidimensional risk-sharing problem
• Convex order and comonotonic conditional mean risk sharing
• Optimal risk sharing with different reference probabilities
• From risk reduction to risk elimination by conditional mean risk sharing of independent losses
• Effective risk aversion in thin risk‐sharing markets
• Sharing risk -- an economic perspective
• Efficient risk sharing: the last frontier
• Optimal risk sharing with background risk
• Multi-period risk sharing under financial fairness
• Risk Attribution Using the Shapley Value: Methodology and Policy Applications
• Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
• Bilateral risk sharing in a comonotone market with rank-dependent utilities

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