On comonotonicity of Pareto optimal risk sharing

2008 ◽  
Vol 78 (10) ◽  
pp. 1181-1188 ◽  
Author(s):  
Michael Ludkovski ◽  
Ludger Rüschendorf
Keyword(s):  
Risk Sharing ◽  
Pareto Optimal ◽  
Optimal Risk Sharing

Experimental Stock Markets with Controlled Risk Preferences

1992 ◽  
Vol 7 (2) ◽  
pp. 117-134 ◽  
Author(s):  
John R. O'Brien
Keyword(s):  
Risk Sharing ◽  
Competitive Equilibrium ◽  
Risk Preferences ◽  
World Market ◽  
Equilibrium Price ◽  
Double Auction ◽  
Pareto Optimal ◽  
Market Institution ◽  
Certainty Equivalents ◽  
Optimal Risk Sharing

In this paper the empirical validity of the binary lottery preference inducing technique is tested in a real world market institution. In each market the potential gains to exchange arise from induced risk preferences, and the predicted competitive equilibrium is equivalent to the Pareto optimal risk sharing allocation. Price convergence to (and near) the competitive equilibrium price was rapid in each market, and most trades were individually rational with respect to induced certainty equivalents. This evidence implies that preferences can be induced in an oral double auction institution, using this technique.

scholarly journals On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 114
Author(s):  
Chen Li ◽  
Xiaohu Li
Keyword(s):  
Asymmetric Information ◽  
Recovery Rate ◽  
Risk Sharing ◽  
Information Model ◽  
Statistical Dependence ◽  
Pareto Optimal ◽  
Insurance Claim ◽  
Optimal Reinsurance ◽  
Symmetric Information ◽  
Optimal Risk Sharing

This paper studies a Pareto-optimal reinsurance contract in the presence of negative statistical dependence between the insurance claim and the random recovery rate. In the context of symmetric information model and asymmetric information model, we investigate properties of the Pareto-optimal indemnity schedules. For risk neutral reinsurer with proportional cost and associated expense, we present possible forms of the Pareto-optimal indemnity schedule as well.

Optimal risk-sharing under mutually singular beliefs

2014 ◽  
Vol 72 ◽  
pp. 41-49 ◽  
Author(s):  
Dejian Tian ◽  
Weidong Tian
Keyword(s):  
Risk Sharing ◽  
Optimal Risk Sharing
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