RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if … requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

-temporal capital transfer. Expected utility is used to evaluate the utility, and a risk-neutral measure is essential for determining … the risk sharing rules. It can be shown that in the model setting there always exists a unique risk sharing rule that is …

This paper studies bilateral risk sharing under no aggregate uncertainty, where one agent has Expected … exogenous constraints on the risk exposure for both agents, and we allow for any type or level of belief heterogeneity. We show … that Pareto-optimal risk-sharing contracts can be obtained via a constrained utility maximization under a participation …

Motivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management platforms and … risk-sharing, insurance and market platform. First, we show that under a non-discriminatory insurance assumption, it is … collects the premia ex-post after the losses are realised. As a result, an efficient solution is generated in the risk …

literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially … fair price for low risk types provides full insurance against reclassification risk. We develop a model that includes … unpredictable (and unobservable) fluctuations in demand for life insurance as well as changes in risk type (observable) over …

literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially … fair price for low risk types provides full insurance against reclassification risk. We develop a model that includes … unpredictable (and unobservable) fluctuations in demand for life insurance as well as changes in risk type (observable) over …

This paper studies bilateral risk-sharing with no aggregate uncertainty, when agents maximize rank-dependent utilities …. We characterize the structure of Pareto optimal risk-sharing contracts in full generality. We then derive a necessary and …

Risk classification refers to the use of observable characteristics by insurers to group individuals with similar … expected claims, compute the corresponding premiums, and thereby reduce asymmetric information. Risk classification can be used … empirical studies on risk classification and residual asymmetric information …