cannot cooperate in setting the terms of their incentive schemes. We show that minimizing the risk imposed on the agent may … of cooperating principals. This comes at the price of higher risk and welfare in former case is lower. …

that the nonnegative default risk of a buyer weakly decreases borrowing capacity compared to the case when the buyer pays …

cannot cooperate in setting the terms of their incentive schemes. We show that minimizing the risk imposed on the agent may … of cooperating principals. This comes at the price of higher risk and welfare in former case is lower. …

that the nonnegative default risk of a buyer weakly decreases borrowing capacity compared to the case when the buyer pays …

Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some … individual portfolios' realization vectors and a coherent measure of risk. We consider sharing the risk of the aggregate … portfolio by studying transferable utility cooperative games: risk allocation games. We show that the class of risk allocation …

This paper examines how cooperation in an insurance game depends on risk preferences and the riskiness of income. It … of the discount factor above which perfect risk sharing is self-enforcing. When agents face no aggregate risk, there is … of idiosyncratic and aggregate risk. In the case of exponential (isoelastic) utility, cooperation depends positively on …

invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law …-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equi- librium (GE) theory …Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation …