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Optimal risk sharing with general deviation measures

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  • Bogdan Grechuk
  • Michael Zabarankin

Abstract

An optimal risk sharing problem for agents with utility functionals depending only on the expected value and a deviation measure of an uncertain payoff has been studied. The agents are assumed to have no initial endowments. A set of Pareto-optimal solutions to the problem has been characterized, and a particular solution from the set has been suggested. If an equilibrium exists, the suggested solution coincides with an equilibrium solution. As special cases, the optimal risk sharing problem in the form of expected gain maximization and the problem with a linear mean-deviation utility functional including averse and coherent risk measures have been addressed. In the case of expected gain maximization, the existence of an equilibrium has been shown. Copyright Springer Science+Business Media, LLC 2012

Suggested Citation

  • Bogdan Grechuk & Michael Zabarankin, 2012. "Optimal risk sharing with general deviation measures," Annals of Operations Research, Springer, vol. 200(1), pages 9-21, November.
    • Handle: RePEc:spr:annopr:v:200:y:2012:i:1:p:9-21:10.1007/s10479-010-0834-7
    DOI: 10.1007/s10479-010-0834-7
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    References listed on IDEAS

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    7. Bogdan Grechuk & Anton Molyboha & Michael Zabarankin, 2009. "Maximum Entropy Principle with General Deviation Measures," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 445-467, May.
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    10. R. Tyrrell Rockafellar & Stan Uryasev & Michael Zabarankin, 2008. "Risk Tuning with Generalized Linear Regression," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 712-729, August.
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    Cited by:

    1. Ambrose Lo & Zhaofeng Tang, 2019. "Pareto-optimal reinsurance policies in the presence of individual risk constraints," Annals of Operations Research, Springer, vol. 274(1), pages 395-423, March.
    2. Bogdan Grechuk & Michael Zabarankin, 2017. "Synergy effect of cooperative investment," Annals of Operations Research, Springer, vol. 249(1), pages 409-431, February.
    3. Grechuk, Bogdan, 2015. "The center of a convex set and capital allocation," European Journal of Operational Research, Elsevier, vol. 243(2), pages 628-636.
    4. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
    5. Kiesel Swen & Rüschendorf Ludger, 2014. "Optimal risk allocation for convex risk functionals in general risk domains," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 335-365, December.
    6. Pınar, Mustafa Ç., 2014. "Equilibrium in an ambiguity-averse mean–variance investors market," European Journal of Operational Research, Elsevier, vol. 237(3), pages 957-965.
    7. Grechuk, Bogdan, 2023. "Extended gradient of convex function and capital allocation," European Journal of Operational Research, Elsevier, vol. 305(1), pages 429-437.
    8. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.

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