التفاصيل البيبلوغرافية
| العنوان: |
Risk sharing under heterogeneous beliefs without convexity. |
| المؤلفون: |
Liebrich, Felix-Benedikt1 (AUTHOR) f.b.liebrich@uva.nl |
| المصدر: |
Finance & Stochastics. Oct2024, Vol. 28 Issue 4, p999-1033. 35p. |
| مصطلحات موضوعية: |
*PARETO optimum, *RISK sharing, *RISK assessment, STOCHASTIC dominance, PROBABILITY measures |
| مستخلص: |
We consider the problem of finding (Pareto-)optimal allocations of risk among finitely many agents. The associated individual risk measures are law-invariant, but with respect to agent-dependent and potentially heterogeneous reference probability measures. Moreover, we assume that the individual risk assessments are consistent with the respective second-order stochastic dominance relations, but remain agnostic about their convexity. A simple sufficient condition for the existence of Pareto optima is provided. The proof combines local comonotonic improvement with a Dieudonné-type argument, which also establishes a link of the optimal allocation problem to the realm of "collapse to the mean" results. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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