Risk exchange with distorted probabilities

ASTIN Bulletin

Volumn 36, Issue 1, 2006, Pages 219-243

  Tsanakas, Andreas ^a   Christofides, Nicos ^b  

^a LLOYD'S OF LONDON   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 35348834165     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.36.1.2014150     Document Type: Article

References (40)

1. AASE, K. (1993) Equilibrium in a reinsurance syndicate; existence, uniqueness and characterisation. ASTIN Bulletin 23(2), 185-211.
2. AASE, K. (2002) Perspectives of Risk Sharing. Scandinavian Actuarial Journal 2, 73-128.
3. ARTZNER, P., DELBAEN, F., EBER, J.-M., and HEATH, D. (1999) Coherent measures of risk. Mathematical Finance 9(3), 203-228.
4. AUBIN, J-P. (1981) Cooperative Fuzzy Games. Mathematics of Operations Research 6(1), 1-13.
5. AUMANN, R.J. and SHAPLEY, L.S. (1974) Values of Non-Atomic Games. Princeton University Press, Princeton.
6. BASLE COMMITTEE ON BANKING SUPERVISION (2003) The New Basel Capital Accord.
7. BILLOT, A., CHATEAUNEUF, A., GILBOA, I. and TALLON, J.-M. (2000) Sharing Beliefs: Between Agreeing and Disagreeing. Econometrica 68(3), 685-694.
8. BORCH, K. (1962) Equilibrium in a Reinsurance Market. Econometrica 30(3), 424-444.
9. BORCH, K. (1985) A Theory of Insurance Premiums. The Geneva Papers of Risk and Insurance, 192-208.
10. BÜHLMANN, H. (1980) An Economic Premium Principle. ASTIN Bulletin 11(1), 52-60.
11. BÜHLMANN, H. (1984) The General Economic Premium Principle. ASTIN Bulletin 14(1), 13-21.
12. CARLIER, G. and DANA, R.A. (2002) Core of convex distortions of a probability. Journal of Economic Theory 113(2), 199-222.
13. CHATEAUNEUF, A., DANA, R.A. and TALLON, J.-M. (2000) Optimal Risk-Sharing Rules and Equilibria with Choquet-Expected-Utility. Journal of Mathematical Economics 34, 191-214.
14. CHEN, Z. and EPSTEIN, L. (2002) Ambiguity, risk, and asset returns in continuous time. Econometrica 70(4), 1403-1443.
15. CHEW, S.H., KARNI, E. and SAFRA, Z. (1987) Risk Aversion in the Theory of Expected Utility with Rank Dependent Probabilities. Journal of Economic Theory 42, 370-381.
16. CHOQUET, G. (1953) Theory of capacities. Annales de l'Institut Fourier 5, 131-295.
17. DANA, R-A. (2002) On Equilibria when Agents have Multiple Priors. Annals of Operations Research 114, 105-115.
18. DENNEBERG, D. (1990) Distorted Probabilities and Insurance Premiums. Methods of Operations Research 63, 3-5.
19. DENNEBERG, D. (1994) Non-additive Measure and Integral. Kluwer Academic Publishers, Dordrecht.
20. DHAENE, J, DENUIT, M., GOOVAERTS, M.J., KAAS, R. and VYNCKE, D. (2002) The Concept of Comonotonicity in Actuarial Science and Finance: Theory. Insurance: Mathematics and Economics 31(1), 3-33.
21. DUBEY, P., NEYMAN, A. and WEBER, R.J. (1981) Value Theory Without Efficiency. Mathematics of Operations Research 6, 122-128.
22. DUFFIE, D. (1996) Dynamic Asset Pricing Theory. Princeton University Press, Princeton.
23. EPSTEIN, L.G. and Wang, T. (1994) Intertemporal asset pricing under Knightian uncertainty. Econometrica 62(3), 283-322.
24. GILBOA, I. (1985) Subjective Distortions of Probabilities and Non-additive Probabilities. Preprint, The Foerder Institute of Economic Research, Tel Aviv University.
25. GILBOA, I. and SCHMEIDLER, D. (1989) Maxmin Expected Utility with a Non-unique Prior. Journal of Mathematical Economics 18, 141-153.
26. KNIGHT, F.H. (1921) Risk, Uncertainty and Profit. Houghton Mifflin, Boston.
27. LANDSBERGER, M. and MEILIJSON, I. (1994) Co-monotone Allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Annals of Operations Research 52, 97-106.
28. MEHRA, R. and PRESCOTT, E. (1985) The Equity Premium: A Puzzle. Journal of Monetary Economics 15, 145-161.
29. QUIGGIN, J. (1982) A Theory of Anticipated Utility. Journal of Economic Behavior and Organization 3, 323-343.
30. QUIGGIN, J. (1993) Generalized Expected Utility Theory: The Rank-dependent Model. Kluwer Academic Publishers, Boston.
31. ROTHSCHILD, M. and STIGLITZ, J. (1970) Increasing Risk: I. A Definition. Journal of Economic Theory 2, 225-243
32. RUBINSTEIN, M. (1974) An Aggregation Theorem for Securities Markets. Journal of Financial Economics 1, 225-244.
33. SAMET, D., and TAUMAN, Y. (1982) The Determination of Marginal Cost Prices under a Set of Axioms. Econometrica 50(4), 895-909.
34. SCHMEIDLER, D. (1989) Subjective Probability and Expected Utility without Additivity. Econometrica 57(3), 571-587.
35. TASCHE, D. (2000) Conditional Expectation as Quantile Derivative. Preprint, TU Munich.
36. TSANAKAS, A. and DESLI, E. (2003) Risk measures and theories of choice. British Actuarial Journal 9(4), 959-991.
37. VON NEUMANN, J. and MORGENSTERN, O. (1944) Theory of Games and Economic Behavior. Princeton University Press, Princeton.
38. WANG, S.S. (1996) Premium Calculation by Transforming the Premium Layer Density. ASTIN Bulletin, 26(1), 71-92.
39. WILSON, R. (1968) The Theory of Syndicates. Econometrica 36(1), 119-132.
40. YAARI, M. (1987) The Dual Theory of Choice under Risk. Econometrica 55(1), 95-115.