Optimal risk sharing with background risk
WebIn this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal. Following the literature, we adopt dependence uncertainty to model the dependence ambiguity between financial risk (or insurable risk) and background risk. WebApr 25, 2024 · In this paper, we study an optimal insurance problem in the presence of background risk from the perspective of an insured with higher-order risk attitudes. We …
Optimal risk sharing with background risk
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WebJan 5, 2024 · We consider risk sharing among individuals in a one-period setting under uncertainty that will result in payoffs to be shared among the members. We start with … WebJun 1, 2009 · The optimal exchange of risk between two parties is one of the major issues in mathematical economics and finance, and many authors have studied this problem, since the early works of Arrow (1963), Borch (1962)and Du Mouchel (1968), where the risk sharing is analyzed in the insurance and reinsurance context.
Webimate the optimal risk-sharing rule. For reasonable parameter con figurations, however, this approximation is a good fit for the numerically determined optimal risk-sharing rule. … Web95 Likes, 10 Comments - Kristin + Maria Wise + Well (@wise_and_well_) on Instagram: "Most of us think of the menopausal transition (also known as perimenopause) as ...
WebNov 1, 2007 · This points to a potential divergence between individual and collective portfolio choices in the presence of background risk. We show that if the members’ absolute risk tolerance is increasing and satisfies a strong form of concavity, then the group has standard risk aversion. ... we fully characterize the optimal risk-sharing rules. When ... WebDec 24, 2012 · Moral hazard issues and alternative risk transfer mechanisms (securitization) are studied. We analyze the design of reinsurance contracts from a theoretical perspective, from the earlier study of Arrow to more realistic frameworks where background risk, counterparty risk, regulatory constraints and risk measures are taken into account.
WebOptimal risk sharing with background risk Rose-Anne Dana a, Marco Scarsini b, ... Since the early work of Borch [8], many authors have considered the problem of the optimal sharing of risk between an insurer and an insured. In particular, Arrow [1–3] showed that if the
WebBackground and objectives: The identification of increased cardiometabolic risk among asymptomatic individuals remains a huge challenge. The aim of this meta-analysis was to compare the association of body mass index (BMI), which is an index of general obesity, and waist-to-height ratio (WHtR), an index of abdominal obesity, with ... sonesta pharaoh beach resort hotelWebIt is well-known that the presence of background risk in wealth has an effect on the demand for other risks. Several papers have considered different risk postures of decision makers … small diy kitchen tableWebJun 16, 2009 · We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction … small diy solar water heaterWebOptimal risk sharing with background risk My bibliography Save this article Optimal risk sharing with background risk Author & abstract Download & other version 22 References … small diy wood shelves projectsWebThe new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers. Keyphrases background risk rose-anne dana ceremade optimal risk small diy wooden christmas signsWebJul 31, 2012 · Since Borch 1, many researchers have studied the optimal risk sharing rules between individuals and insurance companies. A well-established result comes from Arrow's 2 findings. He showed that full coverage will be optimal when the insurance companies are risk neutral and the premium is actuarially fair. small dnd sizeWebNov 5, 2024 · DOI: 10.1109/ACP55869.2024.10088673 Corpus ID: 258076705; Risk Prediction-Based Dynamic Resource Allocation in Optical Communication Networks for Multi-energy Power System @article{Zhu2024RiskPD, title={Risk Prediction-Based Dynamic Resource Allocation in Optical Communication Networks for Multi-energy Power System}, … sonesta ocean point vs maho beach