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Risk sharing with Lambda value at risk
SSRN Electronic Journal, 2023In this paper, we study the risk-sharing problem among multiple agents using lambda value at risk ([Formula: see text]) as their preferences via the tool of inf-convolution, where [Formula: see text] is an extension of value at risk ([Formula: see text]).
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SSRN Electronic Journal, 2005 This paper considers the formation of risk-sharing networks. Following empirical findings, we build a model where risk-sharing takes place between pairs of individuals. We ask what structures emerge when pairs can agree to form links, but people cannot coordinate links across a population.
Yann Bramoullé, Rachel Kranon
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Journal of Economic Theory, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Luca Rigotti, Chris Shannon
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Luca Rigotti, Chris Shannon
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The Review of Economic Studies, 1977
The fact that a consumer is frequently uncertain about the quality of a product that he purchases, and is therefore also unsure of the extent to which it will render him the services he might expect of it, is one that is gaining increasing recognition.
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The fact that a consumer is frequently uncertain about the quality of a product that he purchases, and is therefore also unsure of the extent to which it will render him the services he might expect of it, is one that is gaining increasing recognition.
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Operations Research, 2017
We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their preferences. The family of RVaR includes the value-at-risk (VaR) and the expected shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish
Paul Embrechts, Haiyan Liu, Ruodu Wang
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We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their preferences. The family of RVaR includes the value-at-risk (VaR) and the expected shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish
Paul Embrechts, Haiyan Liu, Ruodu Wang
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Risk Sharing in the Share Economy
1991So far in this book we have been considering the reaction of the firm in disequilibrium situations caused by unanticipated demand shocks. Following Weitzman (1983), these situations may be characterised as genuine uncertainty to which a probability distribution cannot be attached: they can therefore be dealt with — as we have been doing up to this ...
Franco Cugno, Mario Ferrero
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Strategy-proof risk sharing [PDF]
Games and Economic Behavior, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Risk Sharing and Subcontracting
1987Linear risk sharing provisions between companies and supply industry are considered. The provisions are characterized by target profit, target cost, and a sharing rate. The problem to assess these parameters appropriately is dealt with in a normative model.
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2021
Insurance makes use of the law of large numbers to mitigate the effects of risks on individuals by allowing them to be shared collectively. Early insurance arrangements arose as friendly societies and mutual insurance companies. Marine insurance has a long history and remains a major insurance market. Fire insurance provides compensation in the face of
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Insurance makes use of the law of large numbers to mitigate the effects of risks on individuals by allowing them to be shared collectively. Early insurance arrangements arose as friendly societies and mutual insurance companies. Marine insurance has a long history and remains a major insurance market. Fire insurance provides compensation in the face of
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Risk Sharing and Layoff Risk in Profit Sharing
Philippine Review of Economics, 1995We show that if the employer is risk averse, however slightly, there is always a profit sharing contract that will Pareto-dominate the spot wage contract in the sense of pure risk sharing. The smaller is the employer risk aversion, the narrower is the room for profit sharing.
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