Bilateral risk sharing with heterogeneous beliefs and exposure constraints

Recurso electrónico / Electronic resource
MARC record
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001  MAP20200009986
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008  200326e20200101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20210031915‎$a‎Boonen, Tim J
24510‎$a‎Bilateral risk sharing with heterogeneous beliefs and exposure constraints‎$c‎Tim J. Boonen, Mario Ghossoub
520  ‎$a‎This 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.
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080616106‎$a‎Cálculo de probabilidades
650 4‎$0‎MAPA20080610319‎$a‎Distribución de riesgos
700  ‎$0‎MAPA20210031915‎$a‎Boonen, Tim J
700  ‎$0‎MAPA20170005414‎$a‎Ghossoub, Mario
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 293-323