Risk redistribution games with dual utilities

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      <subfield code="a">Boonen, Tim J.</subfield>
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      <subfield code="a">Risk redistribution games with dual utilities</subfield>
      <subfield code="c">Tim J. Boonen</subfield>
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      <subfield code="a">This 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.</subfield>
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      <subfield code="0">MAPA20080610319</subfield>
      <subfield code="a">Distribución de riesgos</subfield>
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      <subfield code="a">Evaluación de riesgos</subfield>
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      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
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      <subfield code="g">02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 303-329</subfield>
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