Unlike classic risk sharing problems based on expected utilities or convex risk measures, quantile-based risk sharing … games exhibit two special features. First, quantile-based risk measures (such as the Value-at-Risk) are often not convex …, and second, they ignore some part of the distribution of the risk. These features create technical challenges in …

Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios … risk. The model leads to non-homogeneous fuzzy games, for which the Euler rule is not applicable. For such games, we seek … implemented capital allocation. In contrast, the Aumann-Shapley allocation, does not generally belong to the core. For the non …

In a risk exchange, participants trade a privately owned risk for a share in a pool. If participants agree on a … of all Pareto efficient risk exchanges. In this paper, we find that an analogous statement is true if we limit ourselves …

This paper examines the optimal allocation of risk in an overlapping-generations economy. It compares the allocation of … risk the economy reaches naturally to the allocation that would be reached if generations behind a Rawlsian 'veil of … ignorance' could share risk with one another through complete Arrow-Debreu contingent-claims markets. The paper then examines …