RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES

DOI10.1017/asb.2016.34zbMath1390.91162OpenAlexW2553297041MaRDI QIDQ4563795

Tim J. Boonen

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/6823163/JMP_TU_rev.pdf

zbMATH Keywords

risk sharingcompetitive equilibriamarket gamesno-tradedual utility

Mathematics Subject Classification ID

Cooperative games (91A12) Utility theory (91B16)

Related Items

RISK SHARING WITH EXPECTED AND DUAL UTILITIES ⋮ Competitive equilibria in a comonotone market

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal risk transfers in insurance groups
• Ambiguity aversion and trade
• Stable allocations of risk
• Actuarial risk measures for financial derivative pricing
• To split or not to split: Capital allocation with convex risk measures
• When do market games have transferable utility?
• Risk aversion in the theory of expected utility with rank dependent probabilities
• The Shapley value in the non differentiable case
• Comparative statics for rank-dependent expected utility theory
• Non-additive measure and integral
• Axiomatic characterization of insurance prices
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Optimal risk sharing under distorted probabilities
• Optimal reinsurance subject to Vajda condition
• The role of a representative reinsurer in optimal reinsurance
• Coherent Measures of Risk
• Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
• Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
• OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES
• An Axiomatization of the Core of Market Games
• Mathematical methods of game and economic theory
• Demand Compatible Equitable Cost Sharing Prices
• Cooperative Fuzzy Games
• Values of Non-Atomic Games
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
• On the Impossibility of Fair Risk Allocation
• The Dual Theory of Choice under Risk
• Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure
• Regulatory arbitrage of risk measures
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Markets with a Continuum of Traders
• The Nucleolus of a Characteristic Function Game
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Utility Functions
• Equilibrium in a Reinsurance Market