Risk Exchange with Distorted Probabilities
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Publication:3632869
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
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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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