Bilateral risk sharing with heterogeneous beliefs and exposure constraints

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<dc:creator>Boonen, Tim J.</dc:creator>
<dc:creator>Boonen, Tim J.</dc:creator>
<dc:creator>Ghossoub, Mario</dc:creator>
<dc:description xml:lang="es">Sumario: This 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.</dc:description>
<dc:rights xml:lang="es">In Copyright (InC) -</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Cálculo de probabilidades</dc:subject>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Bilateral risk sharing with heterogeneous beliefs and exposure constraints</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 293-323</dc:relation>