The Risk-Sharing problem under limited liability constraints in a single-period model

A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies

We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize her expected utility of dividend payments over an infinite horizon. By applying a perturbation approach, we obtain the optimal strategy and the value function in closed form for log and power utility. We conduct an economic analysis to investigate the impact of various model parameters and risk aversion on the insurer's optimal strategy.

基于效用的回收风险测度：投资组合优化的冗余性与近似方法

Utility-Based Recovery Risk Measures: Redundancy and Approximation for Portfolio Optimization

该研究针对投资组合优化，刻画了基于效用的回收风险测度的冗余性，推导了相关筛选条件，开发了非线性OCE效用的分段线性近似框架并验证了其误差与收敛性。

Optimal Risk Sharing under Distorted Probabilities

We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk sharing under third-party constraints is also considered. We obtain an explicit formula for Pareto optimal allocations. In particular, we find that a stop-loss or deductible risk sharing is optimal in the case of two agents and several common distortion functions. This extends recent result of Jouini et al. (2006) to the problem with unbounded risks and market …

Optimal investment problem for a hybrid pension with intergenerational risk-sharing and longevity trend under model uncertainty

This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent force of mortality and a linear maximum age are considered to capture the longevity trend. Suppose that the plan manager is ambiguity averse and is allowed to invest in a risk-free asset and a stock. The plan manager aims to find optimal investment strategies and optimal intergenerational risk-sharing arrangements by minimizing the cost of unstable contributi…

网络化去中心化保险中的最优风险共享规则

Optimal Risk-Sharing Rules in Network-based Decentralized Insurance

本文研究了网络结构中代理人之间基于朋友关系的最优风险共享规则，通过图拉普拉斯算子建立了风险共享机制的数学模型。

Optimally Designing Cybersecurity Insurance Contracts to Encourage the Sharing of Medical Data

Though the sharing of medical data has the potential to lead to breakthroughs in health care, the sharing process itself exposes patients and health care providers to various risks. Patients face risks due to the possible loss in privacy or livelihood that can occur when medical data is stolen or used in non-permitted ways, whereas health care providers face risks due to the associated liability. For medical data, these risks persist even after anonymizing/deidentifying, according to the standards defined in existing legislation, the data sets prior to sharing, because shared medical data can …

网络上的线性风险分担

Linear Risk Sharing on Networks

本文提出线性风险分担框架，利用非负线性算子和双随机矩阵理论分析网络结构下的风险分配，为点对点保险提供公平高效的设计原则。

On contingent claims pricing in incomplete markets: A risk sharing approach

In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the minimization of a convex combination of their utility differences. We call this price the risk sharing price, we prove its existence for a large family of utility functions and we state some of its properties. As an example, we analyze extensively the case where both agents report exponential utility.

Optimal Sharing Rule for a Household with a Portfolio Management Problem

We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption and final wealth. Each agent has different utility function and discount factor. An explicit formulation for the optimal consumptions and portfolio can be obtained in the case of a complete market. The problem is shown to be equivalent to maximizing three different utilities separately with separate initial wealths. We study a numerical example where the mar…

针对相互依赖风险的合作安全

Cooperative Security Against Interdependent Risks

本研究构建相互依赖安全的图论模型，证明网络最优策略可多项式时间计算，分析不同信息假设下成本分摊机制对合作的维持作用，设计并推广了合意分配机制。

Risk-Averse Classification

We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for associating distinct risk functional to each classes. The risk may be measured by different (non-linear in probability) measures, We analyze the structure of the new classifier design problem and establish its theoretical relation to known risk-neutral design problems. In particular, we show that the risk-sharing classification problem is equivalent to an impl…