Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - 2017 - This version: October 24, 2017
-Debreu equilibrium is established for some simple, yet natural settings. Further, we investigate the problem of model uncertainty in risk …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 …