TY - JOUR
T1 - Optimal risk sharing with general deviation measures
AU - Grechuk, Bogdan
AU - Zabarankin, Michael
PY - 2012/11
Y1 - 2012/11
N2 - 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.
AB - 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.
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U2 - 10.1007/s10479-010-0834-7
DO - 10.1007/s10479-010-0834-7
M3 - Article
AN - SCOPUS:84867403945
SN - 0254-5330
VL - 200
SP - 9
EP - 21
JO - Annals of Operations Research
JF - Annals of Operations Research
IS - 1
ER -