Perspectives of Risk Sharing

DOI10.1080/03461230110106237zbMath1015.62104OpenAlexW2039105106MaRDI QIDQ4791988

Knut Kristian Aase

Publication date: 6 February 2003

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/163783

zbMATH Keywords

equilibriumPareto optimalitystock marketmoral hazardcore solutionagent pricingcomplete and incomplete modelsreinsurance models

Mathematics Subject Classification ID

Related Items (34)

On Pareto-optimal reinsurance with constraints under distortion risk measures ⋮ The center of a convex set and capital allocation ⋮ Excess of loss reinsurance under joint survival optimality ⋮ Core of the reinsurance market with dependent risks ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ Optimal risk sharing with general deviation measures ⋮ Optimal risk sharing under distorted probabilities ⋮ Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization ⋮ Coupled projects, core imputations, and the CAPM ⋮ Risk capital allocation and cooperative pricing of insurance liabilities. ⋮ A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts ⋮ Optimal insurance under the insurer's risk constraint ⋮ LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING ⋮ Optimal joint survival reinsurance: an efficient frontier approach ⋮ On comonotonicity of Pareto optimal risk sharing ⋮ Optimal risk control and dividend policies under excess of loss reinsurance ⋮ Synergy effect of cooperative investment ⋮ Pareto-optimal insurance policies: the case of normal summary risk ⋮ Three environmental probabilistic risk problems ⋮ An insurance network: Nash equilibrium ⋮ Borch's theorem from the perspective of comonotonicity ⋮ Optimal decision rule in forming an insurance portfolio ⋮ A note on optimal risk sharing on $L^p$ spaces ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ The economics of sharing macro-longevity risk ⋮ Optimal portfolio delegation when parties have different coefficients of risk aversion ⋮ The Nash bargaining solution vs. equilibrium in a reinsurance syndicate ⋮ The Nash bargaining solution vs. equilibrium in a reinsurance syndicate ⋮ A Bowley solution with limited ceded risk for a monopolistic reinsurer ⋮ Two-agent Pareto optimal cooperative investment in general semimartingale model ⋮ Extended gradient of convex function and capital allocation ⋮ Optimal retention levels, given the joint survival of cedent and reinsurer ⋮ The diversification theorem restated: risk-pooling without assignment of probabilities

Cites Work

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