Risk Sharing for Individual Risks

20 Pages Posted: 13 Jun 2014

Date Written: June 11, 2014

Abstract

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

Suggested Citation

Assa, Hirbod, Risk Sharing for Individual Risks (June 11, 2014). Available at SSRN: https://ssrn.com/abstract=2448679 or http://dx.doi.org/10.2139/ssrn.2448679

Hirbod Assa (Contact Author)

University of Liverpool ( email )

Institute for Financial and Actuarial Mathematics,
Liverpool, L18 8BF
United Kingdom
447522173132 (Phone)

HOME PAGE: http://sites.google.com/site/assahirbod/

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