Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20260001906</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20260202113057.0</controlfield>
    <controlfield tag="008">260202e20250915bel|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20170005414</subfield>
      <subfield code="a">Ghossoub, Mario</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures</subfield>
      <subfield code="c">Mario Ghossoub, Michael B. Zhu and Wing Fung Chong</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">They study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. They obtain a characterization of Pareto-optimal allocations of the aggregate risk in the market, and we show that the shape of the allocations depends primarily on each agent's assessment of the tail of the aggregate risk. They quantify the latter via an index of probabilistic risk aversion, and we illustrate our results using concrete examples of popular families of distortion functions. As an application of our results, we revisit the market for flood risk insurance in the United States. They present the decentralized risk sharing arrangement as an alternative to the current centralized market structure, and we characterize the optimal allocations in a numerical study with historical flood data. They conclude with an in-depth discussion of the advantages and disadvantages of a decentralized insurance scheme in this setting</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080610319</subfield>
      <subfield code="a">Distribución de riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20240019051</subfield>
      <subfield code="a">Peer to peer insurance</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080592042</subfield>
      <subfield code="a">Modelos matemáticos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080571566</subfield>
      <subfield code="a">Casos prácticos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080608392</subfield>
      <subfield code="a">Riesgos meteorológicos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080562922</subfield>
      <subfield code="a">Inundaciones</subfield>
    </datafield>
    <datafield tag="651" ind1=" " ind2="1">
      <subfield code="0">MAPA20080638337</subfield>
      <subfield code="a">Estados Unidos</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20260001487</subfield>
      <subfield code="a">Zhu, Michael B.</subfield>
    </datafield>
    <datafield tag="700" ind1=" " ind2=" ">
      <subfield code="0">MAPA20260001326</subfield>
      <subfield code="a">Fung Chong, Wing</subfield>
    </datafield>
    <datafield tag="710" ind1="2" ind2=" ">
      <subfield code="0">MAPA20100017661</subfield>
      <subfield code="a">International Actuarial Association</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="g">15/09/2025 Volume 55 Issue 3 - September 2025 , p. 537 - 563</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
    </datafield>
  </record>
</collection>