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Risk redistribution games with dual utilities

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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003  MAP
005  20170301141958.0
008  170301e20170102usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20210031915‎$a‎Boonen, Tim J
24510‎$a‎Risk redistribution games with dual utilities‎$c‎Tim J. Boonen
520  ‎$a‎This 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.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080610319‎$a‎Distribución de riesgos
650 4‎$0‎MAPA20080601522‎$a‎Evaluación de riesgos
650 4‎$0‎MAPA20080609184‎$a‎Valoración de empresas
650 4‎$0‎MAPA20080617141‎$a‎Identificación de riesgos
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 303-329