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The average risk sharing problem under risk measure and expected utility theory

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  • Mao, Tiantian
  • Hu, Jiuyun
  • Liu, Haiyan

Abstract

In this paper, we investigate an average risk sharing problem, in which the optimal objective function is called an average-inf-convolution. We study the properties of the average-inf-convolution for a general risk measure, and obtain the explicit form of the average-inf-convolution. We also analyze the average risk sharing problems in the classic utility models in behavioral economics. Explicit forms of the average-inf-convolutions are obtained in the expected utility model and in the utility-based shortfall model, respectively. In the rank-dependent expected utility (RDEU) model, we give a lower bound of the average-inf-convolution for the RDEU-based shortfall.

Suggested Citation

  • Mao, Tiantian & Hu, Jiuyun & Liu, Haiyan, 2018. "The average risk sharing problem under risk measure and expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 170-179.
    • Handle: RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179
    DOI: 10.1016/j.insmatheco.2018.05.006
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    References listed on IDEAS

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    Cited by:

    1. Paul Embrechts & Tiantian Mao & Qiuqi Wang & Ruodu Wang, 2021. "Bayes risk, elicitability, and the Expected Shortfall," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1190-1217, October.
    2. Chen, Ouxiang & Hu, Taizhong, 2019. "Extreme-aggregation measures in the RDEU model," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 155-163.

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