OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
نویسندگان
چکیده
منابع مشابه
Optimal Risk Sharing for Law Invariant Monetary Utility Functions
We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit characterization in the case where both a...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2008
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2007.00332.x