The Role of Risk Aversion in Stochastic Differential Reinsurance Games

2020 ◽  
Vol 28 (4) ◽  
Author(s):  
Negash G Medhin ◽  
Chuan Xu
Keyword(s):  
Risk Aversion

scholarly journals Welfare Consequences of Information Aggregation and Optimal Market Size

2017 ◽  
Vol 9 (4) ◽  
pp. 303-323 ◽  
Author(s):  
Kei Kawakami
Keyword(s):  
Asymmetric Information ◽  
Risk Aversion ◽  
Risk Sharing ◽  
Information Aggregation ◽  
Market Size ◽  
Positive Externality ◽  
Trading Model ◽  
Welfare Implications ◽  
The Right

We analyze the welfare implications of information aggregation in a trading model where traders have both idiosyncratic endowment risk and asymmetric information about security payoffs. The optimal market size balances two forces: (i) the risk-sharing role of markets, which creates a positive externality amongst traders, against (ii) the information-aggregation role of prices, which leads to prices that are more correlated with security payoffs, thereby undermining the hedging function of markets. Our analysis indicates that a market with infinitely many traders may not be the right welfare benchmark in the presence of risk aversion and information aggregation. (JEL D43, D62, D82, D83)

The Role of Global Risk Aversion in Explaining Sovereign Spreads

Economía ◽  
2007 ◽  
Vol 7 (1) ◽  
pp. 125-155 ◽  
Author(s):  
Alicia. García-Herrero ◽  
Alvaro. Ortiz Saravia
Keyword(s):  
Risk Aversion ◽  
Global Risk ◽  
Sovereign Spreads
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