Risk redistribution games with dual utilities
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170006749 | ||
| 003 | MAP | ||
| 005 | 20170301141958.0 | ||
| 008 | 170301e20170102usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20210031915$aBoonen, Tim J | ||
| 245 | 1 | 0 | $aRisk redistribution games with dual utilities$cTim J. Boonen |
| 520 | $aThis paper studies optimal risk redistribution between firms, such as institutional investors, banks or insurance companies. We consider the case where every firm uses dual utility (also called a distortion risk measure) to evaluate risk. We characterize optimal risk redistributions via four properties that need to be satisfied jointly. The characterized risk redistribution is unique under three conditions. Whereas we characterize risk redistributions by means of properties, we can also use some results to study competitive equilibria. We characterize uniqueness of the competitive equilibrium in markets with dual utilities. Finally, we identify two conditions that are jointly necessary and sufficient for the case that there exists a trade that is welfare-improving for all firms. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20080601522$aEvaluación de riesgos | |
| 650 | 4 | $0MAPA20080609184$aValoración de empresas | |
| 650 | 4 | $0MAPA20080617141$aIdentificación de riesgos | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 303-329 |