Bilateral risk sharing with heterogeneous beliefs and exposure constraints
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| 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 |