Risk sharing under heterogeneous beliefs without convexity

Research output: Working paper/Preprint › Preprint

Authors

  • Felix-Benedikt Liebrich

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Original languageEnglish
Publication statusE-pub ahead of print - 12 Aug 2021

Abstract

We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference probability measures. Moreover, individual risk assessments are assumed to be consistent with the respective second-order stochastic dominance relations. We do not assume their convexity though. A simple sufficient condition for the existence of Pareto optima is provided. Its proof combines local comonotone improvement with a Dieudonn\'e-type argument, which also establishes a link of the optimal allocation problem to the realm of "collapse to the mean" results. Finally, we extend the results to capital requirements with multidimensional security markets.

Keywords

    q-fin.RM, econ.GN, q-fin.EC, q-fin.MF

Cite this

Risk sharing under heterogeneous beliefs without convexity. / Liebrich, Felix-Benedikt.
2021.

Research output: Working paper/Preprint › Preprint

Liebrich FB. Risk sharing under heterogeneous beliefs without convexity. 2021 Aug 12. Epub 2021 Aug 12.
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