In complete frictionless securities markets under uncertainty, it is well-known that in the absence of arbitrage opportunities, there exists a unique linear positive pricing rule, which induces a state-price density (e.g., Harrison and Kreps (1979)). Dybvig (1988) showed that the cheapest way to...

Arrow's classical result on the optimality of the deductible indemnity schedule holds in a situation where the insurer is a risk-neutral Expected-Utility (EU) maximizer, the insured is a risk-averse EU-maximizer, and the two parties share the same probabilistic beliefs about the realizations of...

In the classical Expected-Utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability...

In Arrow's classical problem of demand for insurance indemnity schedules, it is well-known that the optimal insurance indemnification for an insurance buyer - or decision maker (DM) - is a deductible contract, when the insurer is a risk-neutral Expected-Utility (EU) maximizer and when the DM is...

This paper studies bilateral risk sharing under no aggregate uncertainty, where one agent has Expected-Utility preferences and the other agent has Rank-Dependent Utility preferences with a general probability distortion function. We impose exogenous constraints on the risk exposure for both...

This paper studies a one-period optimal reinsurance design model with n reinsurers and an insurer. The reinsurers are endowed with expected-value premium principles and with heterogeneous beliefs regarding the underlying distribution of the insurer's risk. Under general preferences for the...

I examine a class of utility maximization problems with a not necessarily law-invariant utility, and with a not necessarily law-invariant risk measure constraint. The objective function is a Lebesgue integral of some function U with respect to some probability measure P, and the constraint set...

In the classical theory of monotone equimeasurable rearrangements of functions, "equimeasurability" (i.e., the fact the two functions have the same distribution) is defined relative to a given additive probability measure. These rearrangement tools have been successfully used in many problems in...