The average risk sharing problem under risk measure and expected utility theory
Jiuyun Hu and
Insurance: Mathematics and Economics, 2018, vol. 83, issue C, 170-179
In this paper, we investigate an average risk sharing problem, in which the optimal objective function is called an average-inf-convolution. We study the properties of the average-inf-convolution for a general risk measure, and obtain the explicit form of the average-inf-convolution. We also analyze the average risk sharing problems in the classic utility models in behavioral economics. Explicit forms of the average-inf-convolutions are obtained in the expected utility model and in the utility-based shortfall model, respectively. In the rank-dependent expected utility (RDEU) model, we give a lower bound of the average-inf-convolution for the RDEU-based shortfall.
Keywords: Risk sharing; Average-inf-convolution; Expected utility; Convex risk measure; Utility-based shortfall (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179
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