Optimal risk sharing under distorted probabilities
نویسندگان
چکیده
منابع مشابه
Optimal Risk Sharing under Distorted Probabilities
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk sharing under thirdparty constraints is also considered. We obtain an explicit formula for Pareto optimal allocations. In particular, we find that a stop-loss or ...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2009
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-009-0015-0