Optimal risk sharing with general deviation measures

Bogdan Grechuk, Michael Zabarankin

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

An optimal risk sharing problem for agents with utility functionals depending only on the expected value and a deviation measure of an uncertain payoff has been studied. The agents are assumed to have no initial endowments. A set of Pareto-optimal solutions to the problem has been characterized, and a particular solution from the set has been suggested. If an equilibrium exists, the suggested solution coincides with an equilibrium solution. As special cases, the optimal risk sharing problem in the form of expected gain maximization and the problem with a linear mean-deviation utility functional including averse and coherent risk measures have been addressed. In the case of expected gain maximization, the existence of an equilibrium has been shown.

Original languageEnglish
Pages (from-to)9-21
Number of pages13
JournalAnnals of Operations Research
Volume200
Issue number1
DOIs
StatePublished - Nov 2012

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