On the optimal risk allocation problem

Burgert Christian and Rüschendorf Ludger

Statistics & Risk Modeling, 2006, vol. 24, issue 1, 153-171

Abstract: The optimal risk allocation problem or equivalently the problem of risk sharing is the problem to allocate a risk in an optimal way to n traders endowed with risk measures ϱ1, …, ϱn. This problem has a long history in mathematical economics and insurance. In the first part of the paper we review some mathematical tools and discuss their applications to various problems on risk measures related to the allocation problem like to monotonicity properties of optimal allocations, to optimal investment problems or to an appropriate definition of the conditional value at risk. We then consider the risk allocation problem for convex risk measures ϱi. In general the optimal risk allocation problem is well defined only under an equilibrium condition. This condition can be characterized by the existence of a common scenario measure. We formulate ameaningful modification of the optimal risk allocation problem also formarkets without assuming the equilibrium condition and characterize optimal solutions. The basic idea is to restrict the class of admissible allocations in a proper way.

Keywords: Pareto optimal risk allocation; risk sharing; risk measures; equilibrium (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1524/stnd.2006.24.1.153 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:24:y:2006:i:1:p:153-171:n:11

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/strm/html

DOI: 10.1524/stnd.2006.24.1.153

Access Statistics for this article

Statistics & Risk Modeling is currently edited by Robert Stelzer

More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().