Related papers: Risk sharing with Lambda value at risk under heter…
In this paper, we investigate the Lambda Value-at-Risk ($\Lambda$VaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for increasing Lambda functions, the robust (i.e., worst-case)…
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called…
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…
We study a model of moral hazard with heterogeneous beliefs where each of agent's actions gives rise to a pair of probability distributions over output levels, one representing the beliefs of the agent and the other those of the principal.…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
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…
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…
Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable…
In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the inf-convolution of drivers G.
In this paper, we provide extended convolution bounds for the Fr\'{e}chet problem and discuss related implications in quantitative risk management. First, we establish a new form of inequality for the Range-Value-at-Risk (RVaR). Based on…
When group members claim a portion of limited resources, it is tempting to invest more effort to get a larger share. However, if everyone acts similarly, they all get the same piece they would obtain without extra effort. This is the…
This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and introducing an incentive compatibility constraint to address…
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case. One can find all kinds of special risk…
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…
We provide an inferential framework to assess variable importance for heterogeneous treatment effects. This assessment is especially useful in high-risk domains such as medicine, where decision makers hesitate to rely on black-box treatment…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…