Risk Exchange with Distorted Probabilities

DOI10.2143/AST.36.1.2014150MaRDI QIDQ3632869zbMATH OpenOpenAlexFDO

Authors A. 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

Recommendations

• Optimal risk sharing under distorted probabilities
• Participation in risk sharing under ambiguity
• Distorted probabilities and choice under risk
• What attitudes to risk underlie distortion risk measure choices?
• Sharing ambiguous risks

Cites work

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

Cited in

(25)

• Distorted probabilities and choice under risk
• Noncooperative dynamic games for general insurance markets
• Competitive equilibria in a comonotone market
• Bipolar behavior of submodular, law-invariant capacities
• On a Markovian game model for competitive insurance pricing
• General equilibrium, preferences and financial institutions after the crisis
• Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
• Bilateral risk sharing in a comonotone market with rank-dependent utilities
• Insights to systematic risk and diversification across a joint probability distribution
• Risk margin for a non-life insurance run-off
• 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
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• scientific article; zbMATH DE number 4113816 (Why is no real title available?)
• Weighted Pricing Functionals With Applications to Insurance
• Pricing of debt and equity in a financial network with comonotonic endowments
• Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
• Bilateral risk sharing with heterogeneous beliefs and exposure constraints
• Efficiency in pure-exchange economies with risk-averse monetary utilities
• Dynamic capital allocation with distortion risk measures
• Counter-monotonic risk sharing with heterogeneous distortion risk measures
• Coherent risk measure, equilibrium and equilibrium pricing

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