OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

DOI10.1111/J.1467-9965.2007.00332.XzbMATH Open1133.91360OpenAlexW2167264394MaRDI QIDQ5459958FDOQ5459958

Authors: Elyès Jouini, Walter Schachermayer, Nizar Touzi 

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00332.x

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Mathematics Subject Classification ID

Utility theory (91B16)

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• Pareto Equilibria with coherent measures of risk
• Equilibrium in a Reinsurance Market
• Inf-convolution of risk measures and optimal risk transfer
• Conditional comonotonicity

Cited In (only showing first 100 items - show all)

• Indifference pricing of reinsurance with reinstatements using coherent monetary criteria
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• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Quantile-based risk sharing with heterogeneous beliefs
• Systemic optimal risk transfer equilibrium
• PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
• Optimal risk sharing under distorted probabilities
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Equilibrium in risk-sharing games
• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
• Optimal risk sharing in insurance networks. An application to asset-liability management
• Optimal multivariate financial decision making
• Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
• Optimal Risk-Sharing When Risk Preferences are Uncertain
• Optimal risk sharing with non-monotone monetary functionals
• A numerical approach for a class of risk-sharing problems
• Optimal demand for contingent claims when agents have law invariant utilities
• Pareto efficiency for the concave order and multivariate comonotonicity
• Convex risk measures on Orlicz spaces: inf-convolution and shortfall
• Efficiency and equilibria in games of optimal derivative design
• COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES
• Exchanges and measures of risks
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• Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
• On comonotonicity of Pareto optimal risk sharing
• RISK SHARING WITH EXPECTED AND DUAL UTILITIES
• The center of a convex set and capital allocation
• Cash subadditive risk measures and interest rate ambiguity
• Hedging, Pareto optimality, and good deals
• On optimal allocation of risk vectors
• Competitive equilibria in a comonotone market
• General Pareto Optimal Allocations and Applications to Multi-Period Risks
• Optimal insurance in the presence of reinsurance
• Pareto-optimal reinsurance arrangements under general model settings
• Inverse portfolio problem with coherent risk measures
• ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE?
• Efficient allocations under law-invariance: a unifying approach
• Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
• BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS
• Optimal derivatives design for mean-variance agents under adverse selection
• Quantile-Based Risk Sharing
• Regulatory arbitrage of risk measures
• Allocation of risks and equilibrium in markets with finitely many traders
• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Optimal risk-sharing under mutually singular beliefs
• Optimal risk sharing with general deviation measures
• Monotone and cash-invariant convex functions and hulls
• WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS
• Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
• Optimal risk sharing with different reference probabilities
• Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
• Characterizing optimal allocations in quantile-based risk sharing
• Prevention efforts, insurance demand and price incentives under coherent risk measures
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
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• To split or not to split: Capital allocation with convex risk measures
• Jensen's inequality for monetary utility functions
• Extended gradient of convex function and capital allocation
• Optimal risk sharing with background risk
• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
• Optimal risk transfer for agents with germs
• Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
• Short note on inf-convolution preserving the Fatou property
• Synergy effect of cooperative investment
• The effect of market power on risk-sharing
• Convex risk functionals: representation and applications
• Solvency II, or how to sweep the downside risk under the carpet
• Conditional risk and acceptability mappings as Banach-lattice valued mappings
• Bilateral risk sharing in a comonotone market with rank-dependent utilities
• Law-Invariant Functionals on General Spaces of Random Variables
• The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
• OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY
• An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing
• The average risk sharing problem under risk measure and expected utility theory
• RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES
• Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
• Valuation and pricing of electricity delivery contracts: the producer's view
• COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
• Endogenous Inverse Demand Functions
• Risk sharing under heterogeneous beliefs without convexity
• Title not available (Why is that?)
• Fairness principles for insurance contracts in the presence of default risk
• Robust optimal risk sharing and risk premia in expanding pools
• Inf-convolution and optimal allocations for mixed-VaRs
• On agent's agreement and partial-equilibrium pricing in incomplete markets
• Automatic Fatou property of law-invariant risk measures
• Is the inf-convolution of law-invariant preferences law-invariant?
• Adjusted higher-order expected shortfall
• Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
• Collective dynamic risk measures
• Financial finance
• Optimal Risk Sharing for Maxmin Choquet Expected Utility Model
• Model spaces for risk measures
• Pairwise counter-monotonicity
• Robust return risk measures
• LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS
• Minkowski deviation measures

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