Add to ORKGThe bilateral exchange between two agents (with an initial endowment of risky and not risis ky assets) is analysed here. The aim of this work to present a model describing the dynamics needed to reach a Pareto optimal settlment price. Risk aversion of the agents is modeled through D.A.R.A. utility functions. The work proposes a method to determine the solution of such an optimization problem
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapte...
The classic Arrow–Debreu framework requires a very large number of specific securities to reach Pare...
In this paper we study the problem of optimal risk sharing in a model of partnership with bilateral ...
This article, based on a result of BORCH and an extension of BOHLMANN, gives a complete characteriza...
Value added of a risk transfer and pareto-optimality In a previous paper, we have used the concept ...
International audienceWe prove that under mild conditions individually rational Pareto optima will e...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...
International audienceThe goal of this paper is to determine the exchange rates consistent with an e...
This paper analyzes optimal risk sharing among agents that are endowed with either expected utility ...
This article, based on a result of Borch and an extension of Bühlmann, gives a complete characteriza...
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present ...
This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with ag...
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includ...
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
In this work we present a new type of microscopic analysis for two well-known wealth exchange models...
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapte...
The classic Arrow–Debreu framework requires a very large number of specific securities to reach Pare...
In this paper we study the problem of optimal risk sharing in a model of partnership with bilateral ...
This article, based on a result of BORCH and an extension of BOHLMANN, gives a complete characteriza...
Value added of a risk transfer and pareto-optimality In a previous paper, we have used the concept ...
International audienceWe prove that under mild conditions individually rational Pareto optima will e...
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with...
International audienceThe goal of this paper is to determine the exchange rates consistent with an e...
This paper analyzes optimal risk sharing among agents that are endowed with either expected utility ...
This article, based on a result of Borch and an extension of Bühlmann, gives a complete characteriza...
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present ...
This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with ag...
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includ...
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
In this work we present a new type of microscopic analysis for two well-known wealth exchange models...
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapte...
The classic Arrow–Debreu framework requires a very large number of specific securities to reach Pare...
In this paper we study the problem of optimal risk sharing in a model of partnership with bilateral ...