EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS

DOI10.1142/S0219024908004828zbMath1151.91608MaRDI QIDQ3520342

Michael Kupper, Damir Filipović

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Utility theory (91B16) General equilibrium theory (91B50)

Related Items (31)

Equilibrium Pricing Under Relative Performance Concerns ⋮ Risk minimization and optimal derivative design in a principal agent game ⋮ The center of a convex set and capital allocation ⋮ Risk Trading and Endogenous Probabilities in Investment Equilibria ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ RISK SHARING WITH EXPECTED AND DUAL UTILITIES ⋮ Hedging, Pareto optimality, and good deals ⋮ Group cohesion under individual regulatory constraints ⋮ Jensen's inequality for monetary utility functions ⋮ Optimal risk sharing under distorted probabilities ⋮ On securitization, market completion and equilibrium risk transfer ⋮ Fairness principles for insurance contracts in the presence of default risk ⋮ Exchanges and measures of risks ⋮ Coupled projects, core imputations, and the CAPM ⋮ Optimal risk sharing in insurance networks. An application to asset-liability management ⋮ Partial equilibria with convex capital requirements: existence, uniqueness and stability ⋮ Optimal risk sharing with non-monotone monetary functionals ⋮ Synergy effect of cooperative investment ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences ⋮ Optimal capital and risk allocations for law- and cash-invariant convex functions ⋮ An Equilibrium Model for Spot and Forward Prices of Commodities ⋮ Optimal risk sharing with different reference probabilities ⋮ Unnamed Item ⋮ RISK MEASURES: RATIONALITY AND DIVERSIFICATION ⋮ Extended gradient of convex function and capital allocation ⋮ Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Cites Work

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• Optimal risk sharing with non-monotone monetary functionals
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• Generalized deviations in risk analysis
• Coherent Measures of Risk
• Arbitrage and the Existence of Competitive Equilibrium
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• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

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