Add to ORKGThis article, based on a result of BORCH and an extension of BOHLMANN, gives a complete characterization of Pareto optimal risk exchanges by a system of differential equations hnking the denvate of agents contributions to their risk aversion coefficients
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
This thesis deals with the risk theory in Finance and Insurance. Application of the Comonotonicity c...
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapte...
This article, based on a result of Borch and an extension of Bühlmann, gives a complete characteriza...
The bilateral exchange between two agents (with an initial endowment of risky and not risis ky asset...
This paper analyzes optimal risk sharing among agents that are endowed with either expected utility ...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...
This paper studies optimal risk redistribution between firms, such as institutional investors, banks...
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present ...
Value added of a risk transfer and pareto-optimality In a previous paper, we have used the concept ...
URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/bandeau-haut/documents-...
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. ...
An introduction to the dual theory of choice under risk is given. Optimal risk sharing under both e...
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includ...
ABSTRACT: Recently, Jouini et al. (2005) studied the problem of optimal sharing of aggregate risks b...
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
This thesis deals with the risk theory in Finance and Insurance. Application of the Comonotonicity c...
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapte...
This article, based on a result of Borch and an extension of Bühlmann, gives a complete characteriza...
The bilateral exchange between two agents (with an initial endowment of risky and not risis ky asset...
This paper analyzes optimal risk sharing among agents that are endowed with either expected utility ...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...
This paper studies optimal risk redistribution between firms, such as institutional investors, banks...
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present ...
Value added of a risk transfer and pareto-optimality In a previous paper, we have used the concept ...
URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/bandeau-haut/documents-...
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. ...
An introduction to the dual theory of choice under risk is given. Optimal risk sharing under both e...
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includ...
ABSTRACT: Recently, Jouini et al. (2005) studied the problem of optimal sharing of aggregate risks b...
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
This thesis deals with the risk theory in Finance and Insurance. Application of the Comonotonicity c...
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapte...