A General Theory of Risk Sharing

Vasily Melnikov

Papers from arXiv.org

Abstract: We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have potentially heterogeneous risk preferences modeled by risk measures. The existence of risk minimizing allocations is proved when constrained to satisfy economically convincing conditions. In the unconstrained case, we derive the dual representation of the value function using a Strassen-type theorem for the weak-star topology. These results are illustrated by explicit formulas when risk preferences are within the family of entropic and expected shortfall risk measures.

Date: 2025-05
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2505.19276 Latest version (application/pdf)

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:arx:papers:2505.19276

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().