Risk Exchange with Distorted Probabilities

DOI10.2143/AST.36.1.2014150zbMath1162.91439OpenAlexW4234435394MaRDI QIDQ3632869

Andreas Tsanakas, Nicos Christofides

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.1.2014150

Mathematics Subject Classification ID

Related Items (21)

Insights to systematic risk and diversification across a joint probability distribution ⋮ On a Markovian game model for competitive insurance pricing ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ POTENTIAL GAMES WITH AGGREGATION IN NON-COOPERATIVE GENERAL INSURANCE MARKETS ⋮ RISK SHARING WITH EXPECTED AND DUAL UTILITIES ⋮ AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL ⋮ Coherent risk measure, equilibrium and equilibrium pricing ⋮ Characterizations of optimal reinsurance treaties: a cost-benefit approach ⋮ Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Noncooperative dynamic games for general insurance markets ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ General equilibrium, preferences and financial institutions after the crisis ⋮ Dynamic capital allocation with distortion risk measures ⋮ BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS ⋮ Competitive equilibria in a comonotone market ⋮ Risk margin for a non-life insurance run-off ⋮ Bipolar behavior of submodular, law-invariant capacities ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

• Risk aversion in the theory of expected utility with rank dependent probabilities
• Maxmin expected utility with non-unique prior
• Non-additive measure and integral
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
• On equilibria when agents have multiple priors
• Coherent Measures of Risk
• Subjective Probability and Expected Utility without Additivity
• The Determination of Marginal Cost Prices under a Set of Axioms
• Cooperative Fuzzy Games
• Value Theory Without Efficiency
• Values of Non-Atomic Games
• Intertemporal Asset Pricing under Knightian Uncertainty
• Sharing Beliefs: Between Agreeing and Disagreeing
• The Dual Theory of Choice under Risk
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Equilibrium in a Reinsurance Market

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