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dc.contributor.authorJouini, Elyès
dc.contributor.authorSchachermayer, Walter
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2009-06-18T16:33:39Z
dc.date.available2009-06-18T16:33:39Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/361
dc.descriptionCe document est également édité dans les Cahiers de la Chaire "Les particuliers face aux risques" de l'Institut de Finance de Dauphine, cahier n°11, juillet 2007
dc.language.isoenen
dc.subjectMonetary Utility Functionsen
dc.subjectComonotonicityen
dc.subjectPareto Optimal Allocationsen
dc.subjectRisken
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.titleOptimal Risk Sharing for Law Invariant Monetary Utility Functionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit characterization in the case where both agents' utility functions are comonotone. The general form of the optimal contracts turns out to be given by a sum of options (stop-loss contracts, in the language of insurance) on the total risk. In order to show the robustness of this type of contracts to more general utility functions, we introduce a new notion of strict risk aversion conditionally on lower tail events, which is typically satisfied by the semi-deviation and the entropic risk measures. Then, in the context of an AV@R-agent facing an agent with strict monotone preferences and exhibiting strict risk aversion conditional on lower tail events, we prove that optimal contracts again are European options on the total risk.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol18en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages269-292en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9965.2007.00332.xen
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00176606/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelEconomie financièreen


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