This paper analyzes optimal risk sharing among agents that are endowed with either expected utility preferences or with … dual utility preferences. We find that Pareto optimal risk redistributions and the competitive equilibria can be obtained … agent of dual utility maximizers. The representative agent of expected utility maximizers resembles an average risk …

function of the group.s wealth level, or equivalently, that the representative agent has a state-dependent utility function. We … degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

A new method for seismic risk identification is proposed based on the average measure of the expected annualized losses … from earthquake occurrence. We show can be identified the risk for insurance decisional purposes. The analysis is useful … for insured as well as for insurance company. When risk is considered from time dynamic perspective we emphasize the …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

We study risk sharing games with quantile-based risk measures and heterogeneous beliefs, motivated by the use of … equivalent to equilibrium allocations, and the equilibrium price is unique. For Value-at-Risk (VaR) agents or mixed VaR and ES … agents, a competitive equilibrium does not exist. Our results generalize existing ones on risk sharing games with risk …