| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20200009986 |
| 003 | | | MAP |
| 005 | | | 20200326142028.0 |
| 008 | | | 200326e20200101bel|||p |0|||b|eng d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | | | $0MAPA20160009941$aBoonen, Tim J. |
| 245 | 1 | 0 | $aBilateral risk sharing with heterogeneous beliefs and exposure constraints$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 | 1 | | $0MAPA20160009941$aBoonen, Tim J. |
| 700 | | | $0MAPA20170005414$aGhossoub, Mario |
| 773 | 0 | | $wMAP20077000420$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 |
