scientific article; zbMATH DE number 4147371

MaRDI QIDQ3477859zbMATH OpenFDO

Authors H. Müller

Publication date 1990

zbMATH Keywords

equilibrium price densityfinancial risknon- increasing absolute risk aversionportfolio insuranceprice equilibriumrisk allocationrisk exchangeutility functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Allocation of risks and equilibrium in markets with finitely many traders
• Perspectives of Risk Sharing
• Exchanges and measures of risks
• Equilibria in a proportional reinsurance market
• Utility Functions

Cited in

(14)

• An economic premium principle in a multiperiod economy.
• Exchanges and measures of risks
• Price volatility and risk with non-separability of preferences
• Investment effects of pricing schemes for non-convex markets
• Multi-regime nonlinear capital asset pricing models
• Risk pricing in a non-expected utility framework
• Risk trading and endogenous probabilities in investment equilibria
• Risk-neutral economy and zero price of risk
• A two price theory of financial equilibrium with risk management implications
• Perspectives of Risk Sharing
• Nonlinear price impact and portfolio choice
• Equilibria in the capital market with non-homogeneous investors
• Competitive equilibrium on risk exchanges: A constrained market approach
• Allocation of risks and equilibrium in markets with finitely many traders

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