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Optimal risk sharing with background risk

Citations

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Cited by:

  1. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
  2. Lu, ZhiYi & Liu, LePing & Zhang, JianYu & Meng, LiLi, 2012. "Optimal insurance under multiple sources of risk with positive dependence," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 462-471.
  3. Asimit, Alexandru V. & Boonen, Tim J. & Chi, Yichun & Chong, Wing Fung, 2021. "Risk sharing with multiple indemnity environments," European Journal of Operational Research, Elsevier, vol. 295(2), pages 587-603.
  4. Boonen, Tim J. & Liu, Fangda, 2022. "Insurance with heterogeneous preferences," Journal of Mathematical Economics, Elsevier, vol. 102(C).
  5. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
  6. Mario Ghossoub, 2015. "Equimeasurable Rearrangements with Capacities," Mathematics of Operations Research, INFORMS, vol. 40(2), pages 429-445, February.
  7. Wang, Qiuqi & Wang, Ruodu & Zitikis, Ričardas, 2022. "Risk measures induced by efficient insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 56-65.
  8. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
  9. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
  10. Moshe Levy & Adi Rizansky, 2014. "Market failure in the pharmaceutical industry and how it can be overcome: the CureShare mechanism," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 15(2), pages 143-156, March.
  11. Ekeland Ivar & Schachermayer Walter, 2011. "Law invariant risk measures on L∞ (ℝd)," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 195-225, September.
  12. Zuo Quan Xu, 2018. "Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework," Papers 1803.02546, arXiv.org, revised Aug 2021.
  13. Ilenia Epifani & Rosella Nicolini, 2013. "On The Population Density Distribution Across Space: A Probabilistic Approach," Journal of Regional Science, Wiley Blackwell, vol. 53(3), pages 481-510, August.
  14. Ghossoub, Mario, 2015. "Vigilant measures of risk and the demand for contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 27-35.
  15. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2021. "Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 302-319.
  16. Chi, Yichun & Zhuang, Sheng Chao, 2022. "Regret-based optimal insurance design," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 22-41.
  17. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 175-187, September.
  18. Boonen, Tim J., 2019. "Equilibrium recoveries in insurance markets with limited liability," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 38-45.
  19. Ghossoub, Mario, 2011. "Monotone equimeasurable rearrangements with non-additive probabilities," MPRA Paper 37629, University Library of Munich, Germany, revised 23 Mar 2012.
  20. Lu, Zhiyi & Meng, Shengwang & Liu, Leping & Han, Ziqi, 2018. "Optimal insurance design under background risk with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 15-28.
  21. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022. "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
  22. Mario Menegatti, 2009. "Optimal saving in the presence of two risks," Journal of Economics, Springer, vol. 96(3), pages 277-288, April.
  23. Damir Filipović & Gregor Svindland, 2008. "Optimal capital and risk allocations for law- and cash-invariant convex functions," Finance and Stochastics, Springer, vol. 12(3), pages 423-439, July.
  24. repec:dau:papers:123456789/9738 is not listed on IDEAS
  25. Guenter Franke & Harris Schlesinger & Richard C. Stapleton, 2013. "Risk-Taking-Neutral Background Risk," CESifo Working Paper Series 4070, CESifo.
  26. Chen Li & Xiaohu Li, 2018. "On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate," Risks, MDPI, vol. 6(4), pages 1-16, October.
  27. Malamud, Semyon & Rui, Huaxia & Whinston, Andrew, 2016. "Optimal reinsurance with multiple tranches," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 71-82.
  28. Mickael Beaud & Marc Willinger, 2015. "Are People Risk Vulnerable?," Management Science, INFORMS, vol. 61(3), pages 624-636, March.
  29. Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
  30. Li, Yongwu & Xu, Zuo Quan, 2017. "Optimal insurance design with a bonus," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 111-118.
  31. Michail Anthropelos & Gordan Zitkovic, 2008. "On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets," Papers 0803.2198, arXiv.org.
  32. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
  33. Liurui Deng & Traian A. Pirvu, 2016. "Multi-period investment strategies under Cumulative Prospect Theory," Papers 1608.08490, arXiv.org, revised Mar 2019.
  34. Yichun Chi & Wei Wei, 2020. "Optimal insurance with background risk: An analysis of general dependence structures," Finance and Stochastics, Springer, vol. 24(4), pages 903-937, October.
  35. Xu Zuo Quan & Zhou Xun Yu & Zhuang Sheng Chao, 2015. "Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities," Papers 1509.04839, arXiv.org.
  36. Kei Fukuda & Akihiko Inoue & Yumiharu Nakano, 2007. "Optimal intertemporal risk allocation applied to insurance pricing," Papers 0711.1143, arXiv.org, revised Nov 2007.
  37. Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April.
  38. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
  39. Vincent, Léonard & Albrecher, Hansjörg & Krvavych, Yuriy, 2021. "Structured reinsurance deals with reference to relative market performance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 125-139.
  40. Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2021. "Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures," Papers 2107.01730, arXiv.org.
  41. Ghossoub, Mario & He, Xue Dong, 2021. "Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 6-22.
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