Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities

DOI10.1007/s00199-007-0266-zzbMath1152.91035OpenAlexW2077436638MaRDI QIDQ929349

Guillaume Carlier, Rose-Anne Dana

Publication date: 17 June 2008

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-007-0266-z

zbMATH Keywords

EquilibriaNon-expected utilitiesRisk-sharing rules

Mathematics Subject Classification ID

Related Items (28)

Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory ⋮ A Neyman-Pearson problem with ambiguity and nonlinear pricing ⋮ An optimal insurance design problem under Knightian uncertainty ⋮ Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance ⋮ Optimal risk sharing under distorted probabilities ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ Optimal insurance under rank-dependent expected utility ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Pareto-optimal insurance with an upper limit on the insurer's exposure ⋮ Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities ⋮ Extreme events and entropy: a multiple quantile utility model ⋮ Optimal lottery ⋮ Pareto efficiency for the concave order and multivariate comonotonicity ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ Restrictions and identification in a multidimensional risk-sharing problem ⋮ A numerical approach for a class of risk-sharing problems ⋮ ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES ⋮ OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY ⋮ Budget-constrained optimal retention with an upper limit on the retained loss ⋮ OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES ⋮ Quantile-Based Risk Sharing ⋮ Optimal payoff under the generalized dual theory of choice ⋮ Equimeasurable Rearrangements with Capacities ⋮ The optimal insurance policy for the general fixed cost of handling an indemnity under rank-dependent expected utility ⋮ Efficient allocations under law-invariance: a unifying approach ⋮ Ambiguity on the insurer's side: the demand for insurance ⋮ Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment ⋮ Cost-efficient contingent claims with market frictions

Cites Work

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• Monopoly and product quality
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• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Core of convex distortions of a probability.
• A unifying approach to axiomatic non-expected utility theories
• The comonotonic sure-thing principle
• Rearrangement inequalities in non-convex insurance models
• Differentiability properties of rank-linear utilities
• Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS

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