A General Theory of Risk Sharing
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have potentially heterogeneous risk preferences modeled by risk measures. The existence of risk minimizing allocations is proved when constrained to satisfy economically convincing conditions. In the unconstrained case, we derive the dual representation of the value function using a Strassen-type theorem for the weak-star topology. These results are illustrated by explicit formulas when risk preferences are within the family of entropic and expected shortfall risk measures.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Inf-convolution and optimal risk sharing with countable sets of risk measures
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restric…
An axiomatic theory for anonymized risk sharing
We study an axiomatic framework for anonymized risk sharing. In contrast to traditional risk sharing settings, our framework requires no information on preferences, identities, private operations and realized losses from…
FairnessQuantiles under ambiguity and risk sharing
Choquet capacities and integrals are central concepts in decision making under ambiguity or model uncertainty, pioneered by Schmeidler. Motivated by risk optimization problems for quantiles under ambiguity, we study the …
Decision MakingSurplus sharing with coherent utility functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk…
Risk-Averse Classification
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new ap…
Binary ClassificationClassificationGeneral Classification