Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures
Risk Management
2021-07-06 v1 Probability
Abstract
We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility preferences. We show that the corresponding convergence rate is typically only instead of the conventional , with the multiplicity of risks in the pool, depending upon the precise risk preferences.
Keywords
Cite
@article{arxiv.2107.01730,
title = {Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures},
author = {Thomas Knispel and Roger J. A. Laeven and Gregor Svindland},
journal= {arXiv preprint arXiv:2107.01730},
year = {2021}
}