Bilateral risk sharing with heterogeneous beliefs and exposure constraints

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<title>Bilateral risk sharing with heterogeneous beliefs and exposure constraints</title>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Tim J. Boonen, Mario Ghossoub</note>
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<topic>Cálculo actuarial</topic>
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<topic>Cálculo de probabilidades</topic>
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<topic>Distribución de riesgos</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 293-323</text>
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