Risk Sharing for Individual Risks
20 Pages Posted: 13 Jun 2014
Date Written: June 11, 2014
Motivated by reinsurance applications, we consider an optimal risk sharing problem for individual risks. In a framework where the market participants’ preferences are according to the sub-additive and law-invariant risk measures, first we characterize the optimal individual risk sharing allocations. Then, we introduce a Choquet risk measure, associated with a given law-invariant coherent risk measure and, by using that, we characterize the optimal risk sharing allocations for the individual risks.
Keywords: Choquet risk measure, individual risk, risk sharing allocations
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