We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking … asymmetric environment, the returns on the alternative risk-free investment are allowed to differ between the entrepreneurs and … the presence of asymmetric options establishes links between the risk-free and risky sectors as well as between the real …

-free and are relevant to many fields encountering catastrophic risk analysis, such as, perhaps most noticeably, insurance and … risk management. …

preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …

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 an inequality for …

market risk as a liquidity provider in exchange for earning commissions on each trade. Here we analyze the risk profile of a …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …

Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility … functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of … conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk …