Results 11 to 20 of about 90 (78)

Optimal allocations with α‐MaxMin utilities, Choquet expected utilities, and prospect theory

Theoretical Economics, Volume 18, Issue 3, Page 993-1022, July 2023., 2023
The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to α‐maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which accommodate ...
Patrick Beißner, Jan Werner
wiley   +1 more source

A note on the induction of comonotonic additive risk measures from acceptance sets

Statistics & Probability Letters, 2023
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance sets and their complements are stable under convex combinations of comonotonic random variables.
Samuel S. Santos, Marlon R. Moresco, Marcelo B. Righi, Eduardo Horta   +3 more
openaire   +2 more sources

Beyond Averages: Inequality‐Sensitive Welfare Comparisons Across the Atlantic

Review of Income and Wealth, Volume 72, Issue 2, May 2026.
ABSTRACT Prior studies assessing welfare across countries have utilized measures that combine country‐level outcomes in income and life expectancy. However, this perspective remains blind to the fact that two countries may have the same life expectancy and/or average income but very different underlying distributions.
Shaun Da Costa
wiley   +1 more source

Robust Λ$\Lambda$‐Quantiles and Extremal Distributions

Mathematical Finance, Volume 36, Issue 1, Page 3-19, January 2026.
ABSTRACT In this paper, we investigate the robust models for Λ$\Lambda$‐quantiles with partial information regarding the loss distribution, where Λ$\Lambda$‐quantiles extend the classical quantiles by replacing the fixed probability level with a probability/loss function Λ$\Lambda$.
Xia Han, Peng Liu
wiley   +1 more source

Efficiency in Pure‐Exchange Economies With Risk‐Averse Monetary Utilities

Mathematical Finance, Volume 36, Issue 1, Page 99-117, January 2026.
ABSTRACT We study Pareto efficiency in a pure‐exchange economy where agents' preferences are represented by risk‐averse monetary utilities. These coincide with law‐invariant monetary utilities, and they can be shown to correspond to the class of monotone, (quasi‐)concave, Schur concave, and translation‐invariant utility functionals. This covers a large
Mario Ghossoub, Michael B. Zhu
wiley   +1 more source

Expected value, to a point: Moral decision‐making under background uncertainty

Noûs, Volume 59, Issue 4, Page 1093-1125, December 2025.
Abstract Expected value maximization gives plausible guidance for moral decision‐making under uncertainty in many situations. But it has unappetizing implications in ‘Pascalian’ situations involving tiny probabilities of extreme outcomes. This paper shows, first, that under realistic levels of ‘background uncertainty’ about sources of value independent
Christian Tarsney
wiley   +1 more source

Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach

Journal of Forecasting, Volume 44, Issue 6, Page 1907-1945, September 2025.
ABSTRACT Based on a joint quantile and expected shortfall semiparametric methodology, we propose a novel approach to forecasting market risk conditioned to transition risk exposure. This method allows us to forecast two climate‐related financial risk measures called CoClimateVaR and CoClimateES, being jointly elicitable, that capture the dependence of ...
Laura Garcia‐Jorcano, Lidia Sanchis‐Marco   +1 more
wiley   +1 more source

On comonotonically additive interval-valued functionals and interval-valued Choquet integrals(II) [PDF]

Journal of Korean Institute of Intelligent Systems, 2004
In this paper, we will define comonotonically additive interval-valued functionals which are generalized comonotonically additive real-valued functionals in Schmeidler[14] and Narukawa[12], and prove some properties of them. And we also investigate some relations between comonotonically additive interval-valued functionals and interval-valued Choquet ...
Lee-Chae Jang, Tae-Kyun Kim, Jong-Duek Jeon   +2 more
openaire   +1 more source

Spatio‐temporal risk sharing and transfer: A unified theory of multi‐period decentralized insurances and annuities

Journal of Risk and Insurance, Volume 92, Issue 3, Page 765-817, September 2025.
Abstract Two distinct strands of research focus on decentralized risk sharing plans. One strand centers on classic risk sharing and decentralized insurance, including peer‐to‐peer insurance, mutual aid, and DeFi insurance. The other explores decentralized annuities, such as tontine and group self‐annuitization. Despite their disparate development paths,
Runhuan Feng, Peixin Liu
wiley   +1 more source

Anticomonotonicity for preference axioms: The natural counterpart to comonotonicity

Theoretical Economics, Volume 20, Issue 3, Page 831-855, July 2025.
Comonotonicity (same variation) of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (opposite variation (AC)), the natural counterpart to comonotonicity. It minimizes leveraging rather than hedging possibilities.
Giulio Principi, Peter P. Wakker, Ruodu Wang   +2 more
wiley   +1 more source