Details
| Original language | English |
|---|---|
| Pages (from-to) | 925-973 |
| Number of pages | 49 |
| Journal | Finance and stochastics |
| Volume | 23 |
| Issue number | 4 |
| Early online date | 12 Aug 2019 |
| Publication status | Published - Oct 2019 |
| Externally published | Yes |
Abstract
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.
Keywords
- Capital requirements, Equilibria, Law-invariant acceptance sets, Multidimensional security spaces, Pareto-optimal risk allocations, Polyhedral acceptance sets, Robustness of optimal allocations
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Economics, Econometrics and Finance(all)
- Finance
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
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In: Finance and stochastics, Vol. 23, No. 4, 10.2019, p. 925-973.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Risk sharing for capital requirements with multidimensional security markets
AU - Liebrich, Felix-Benedikt
AU - Svindland, Gregor
PY - 2019/10
Y1 - 2019/10
N2 - We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.
AB - We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.
KW - Capital requirements
KW - Equilibria
KW - Law-invariant acceptance sets
KW - Multidimensional security spaces
KW - Pareto-optimal risk allocations
KW - Polyhedral acceptance sets
KW - Robustness of optimal allocations
UR - http://www.scopus.com/inward/record.url?scp=85070821698&partnerID=8YFLogxK
U2 - 10.1007/s00780-019-00402-6
DO - 10.1007/s00780-019-00402-6
M3 - Article
VL - 23
SP - 925
EP - 973
JO - Finance and stochastics
JF - Finance and stochastics
SN - 0949-2984
IS - 4
ER -