无凸异质信念下的风险分担

IF 1.1 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics Pub Date : 2024-08-21 DOI:10.1007/s00780-024-00540-6

Felix-Benedikt Liebrich

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引用次数: 0

摘要

我们考虑的问题是在有限多个代理人之间寻找（帕累托）最佳风险分配。相关的个体风险度量是不变的，但与代理人相关且可能是异质的参考概率度量有关。此外，我们假定个体风险评估与各自的二阶随机支配关系一致，但对其凸性保持沉默。我们为帕累托最优值的存在提供了一个简单的充分条件。证明结合了局部协约改进和 Dieudonné 型论证，这也建立了最优分配问题与 "向均值坍缩 "结果领域的联系。

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Risk sharing under heterogeneous beliefs without convexity

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, but remain agnostic about their convexity. A simple sufficient condition for the existence of Pareto optima is provided. The proof combines local comonotonic improvement with a Dieudonné-type argument, which also establishes a link of the optimal allocation problem to the realm of “collapse to the mean” results.

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来源期刊

Finance and Stochastics 管理科学-数学跨学科应用

CiteScore

2.90

自引率

5.90%

发文量

审稿时长

>12 weeks

期刊介绍： The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.