Effective risk aversion in thin risk‐sharing markets

DOI10.1111/MAFI.12258OpenAlexW3016483427MaRDI QIDQ5855967

Michail Anthropelos, Georgios Vichos, Constantinos Kardaras

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.05096

zbMATH Keywords

Nash equilibriumprice impactthin marketseffective risk aversionnoncompetitive risk sharing

Mathematics Subject Classification ID

Utility theory (91B16) Financial markets (91G15)

Related Items (2)

Price impact under heterogeneous beliefs and restricted participation ⋮ Nash equilibria in optimal reinsurance bargaining

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