Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
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- 作者：Elisa Mastrogiacomo ; Emanuela Rosazza Gianin
- 关键词：Risk measures ; Quasiconvex ; Pareto optimal ; Risk sharing ; Inf ; convolution ; D81 ; G11 ; G13 ; G22
- 刊名：Mathematics and Financial Economics
- 出版年：2015
- 出版时间：March 2015
- 年：2015
- 卷：9
- 期：2
- 页码：149-167
- 全文大小：273 KB
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22. Penot, J-P, Volle, M (1990) On quasiconvex duality. Math. Oper. Res. 15: pp. 597-625- 刊物类别：Mathematics and Statistics
- 刊物主题：Mathematics
Quantitative Finance
Finance and Banking
Financial Economics
Game Theory and Mathematical Methods
Applications of Mathematics
Statistics for Business, Economics, Mathematical Finance and Insurance- 出版者：Springer Berlin / Heidelberg
- ISSN：1862-9660
文摘
The main goal of this paper is to generalize the characterization of Pareto optimal allocations known for convex risk measures (see, among others, Jouini et al., in Math Financ 18(2):269-92, 2008 and Filipovic and Kupper, in Int J Theor Appl Financ, 11:325-43, 2008) to the wider class of quasiconvex risk measures. Following the approach of Jouini et al., in Math Financ 18(2):269-92, 2008 for convex risk measures, in the quasiconvex case we provide sufficient conditions for allocations to be (weakly) Pareto optimal in terms of exactness of the so-called quasiconvex inf-convolution as well as an existence result for weakly Pareto optimal allocations. Moreover, we give a necessary condition for weakly optimal risk sharing that is also sufficient under cash-additivity of at least one between the risk measures.