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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…

Risk Management · Quantitative Finance 2021-07-06 Thomas Knispel , Roger J. A. Laeven , Gregor Svindland

This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…

Theoretical Economics · Economics 2025-10-06 Jean-Gabriel Lauzier , Liyuan Lin , Peter Wakker , Ruodu Wang

We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…

Risk Management · Quantitative Finance 2022-05-05 Felix-Benedikt Liebrich

We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…

Risk Management · Quantitative Finance 2025-10-08 Mario Ghossoub , Michael B. Zhu , Wing Fung Chong

We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…

Optimization and Control · Mathematics 2012-05-07 M. Ludkovski , V. R. Young

Risk-sharing is one way to pool risks without the need for a third party. To ensure the attractiveness of such a system, the rule should be accepted and understood by all participants. A desirable risk-sharing rule should fulfill actuarial…

Risk Management · Quantitative Finance 2023-07-11 Fallou Niakh

The assignment problem is one of the most well-studied settings in social choice, matching, and discrete allocation. We consider the problem with the additional feature that agents' preferences involve uncertainty. The setting with…

Computer Science and Game Theory · Computer Science 2016-10-11 Haris Aziz , Ronald de Haan , Baharak Rastegari

We propose a peer-to-peer (P2P) insurance scheme comprising a risk-sharing pool and a reinsurer. A plan manager determines how risks are allocated among members and ceded to the reinsurer, while the reinsurer sets the reinsurance loading.…

Computer Science and Game Theory · Computer Science 2026-02-17 Tim J. Boonen , Kenneth Tsz Hin Ng , Tak Wa Ng , Thai Nguyen

This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…

Probability · Mathematics 2026-04-01 Michel Denuit , José Miguel Flores-Contró , Christian Y. Robert

This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…

Risk Management · Quantitative Finance 2025-12-15 Tim J. Boonen , Xia Han , Peng Liu , Jiacong Wang

We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…

Risk Management · Quantitative Finance 2025-09-12 Jean-Gabriel Lauzier , Liyuan Lin , Ruodu Wang

Catastrophe risk has long been recognized to pose a serious threat to the insurance sector. Catastrophe risk pooling offers an effective way to diversify losses arising from catastrophic events. In this paper, we investigate a structure of…

Risk Management · Quantitative Finance 2026-04-09 Minh Chau Nguyen , Tony S. Wirjanto , Fan Yang

In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…

Risk Management · Quantitative Finance 2024-07-24 Mario Ghossoub , Qinghua Ren , Ruodu Wang

We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly dependent losses. The loss distributions of our focus are…

Risk Management · Quantitative Finance 2025-07-01 Yuyu Chen , Paul Embrechts , Ruodu Wang

We study Pareto efficiency in a pure-exchange economy where agents' preferences are represented by risk-averse monetary utilities. These coincide with law-invariant monetary utilities, and they can be shown to correspond to the class of…

Mathematical Finance · Quantitative Finance 2024-08-15 Mario Ghossoub , Michael Boyuan Zhu

We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…

Risk Management · Quantitative Finance 2024-10-03 Emma Kroell , Sebastian Jaimungal , Silvana M. Pesenti

The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…

Risk Management · Quantitative Finance 2025-10-08 Alfred Müller

Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…

Statistical Mechanics · Physics 2009-11-10 J. R. Iglesias , S. Goncalves , G. Abramson , J. L. Vega

We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…

Theoretical Economics · Economics 2025-10-22 Mario Ghossoub , Qinghua Ren , Ruodu Wang

A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…

Risk Management · Quantitative Finance 2016-07-19 Jianxi Su , Edward Furman
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