Centro de Documentacion de Fundación MAPFRE - Bilateral risk sharing with heterogeneous beliefs and exposure constraints

MAP20200009986

Bilateral risk sharing with heterogeneous beliefs and exposure constraints / Tim J. Boonen, Mario Ghossoub

Sumario: This paper studies bilateral risk sharing under no aggregate uncertainty, where one agent has Expected-Utility preferences and the other agent has Rankdependent utility preferences with a general probability distortion function. We impose exogenous constraints on the risk exposure for both agents, and we allow for any type or level of belief heterogeneity.We show that Pareto-optimal risk-sharing contracts can be obtained via a constrained utility maximization under a participation constraint of the other agent. This allows us to give an explicit characterization of optimal risk-sharing contracts. In particular, we show that an optimal risk-sharing contract contains allocations that are monotone functions of the likelihood ratio, where the latter is obtained from Lebesgue's Decomposition Theorem

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 293-323

1. Cálculo actuarial . 2. Modelos actuariales . 3. Cálculo de probabilidades . 4. Distribución de riesgos . I. Boonen, Tim J . II. Ghossoub, Mario . III. Título.