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. We do not assume their convexity though. A simple sufficient condition for the existence of Pareto optima is provided. The proof combines local comonotone improvement with a Dieudonn\'e-type argument, which also establishes a link of the optimal allocation problem to the realm of "collapse to the mean" results. Finally, we extend the results to capital req...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are ...
This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are ...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are ...
This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are ...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
International audienceThis paper explores risk-sharing and equilibrium in a general equilibrium set-...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...