Bilateral risk sharing in a comonotone market with rank-dependent utilities
From MaRDI portal
Publication:2682994
DOI10.1016/j.insmatheco.2022.09.006OpenAlexW4297141705MaRDI QIDQ2682994
Publication date: 1 February 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.09.006
Pareto optimalitycalculus of variationsrisk sharingcomonotonicityrank-dependent expected utilitycomonotone market
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Marginal indemnification function formulation for optimal reinsurance
- Sharing risk and ambiguity
- Convex ordering for insurance preferences
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- Efficient allocations under ambiguity
- Ambiguity aversion and trade
- Behavioral optimal insurance
- Optimal insurance with belief heterogeneity and incentive compatibility
- Cumulative prospect theory's functional menagerie
- Parametric weighting functions
- Risk aversion in the theory of expected utility with rank dependent probabilities
- Maxmin expected utility with non-unique prior
- Advances in prospect theory: cumulative representation of uncertainty
- Nonlinear multiobjective optimization
- Non-additive measure and integral
- Axiomatic characterization of insurance prices
- The concept of comonotonicity in actuarial science and finance: theory.
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Optimal risk sharing under distorted probabilities
- Competitive equilibria in a comonotone market
- Peer-to-peer multi-risk insurance and mutual aid
- Optimal insurance to maximize RDEU under a distortion-deviation premium principle
- Optimal insurance with background risk: an analysis of general dependence structures
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal insurance under rank-dependent expected utility
- Log-concave probability and its applications
- Cumulative prospect theory and the St. Petersburg paradox
- Pareto-optimal reinsurance policies with maximal synergy
- Risk Exchange with Distorted Probabilities
- Optimal insurance and generalized deductibles
- COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS
- OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
- BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS
- Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting
- Optimal insurance under rank‐dependent utility and incentive compatibility
- Arrow's Theorem of the Deductible with Heterogeneous Beliefs
- A Smooth Model of Decision Making under Ambiguity
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Utility Functions
- Equilibrium in a Reinsurance Market
- ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
- MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY
