Abstract:

In this talk, we look into a bilateral risk-sharing problem where both agents are rank-dependent utility maximizers. The market restricts risk allocations to be comonotonic. We first characterize the optimal risk allocation in an implicit way through the calculus of variations. Then, based on the element-wise maximizer to the problem, we partition the support of loss into disjoint pieces and unveil the explicit structure of the optimal risk allocation over each piece. Our methodology is efficient in reducing the dimension of such kind of problem, and we show optimal solutions under only mild assumptions. We show the applicability of our results in two examples where both agents use exponential utilities and use convex power or inverse-S-shaped probability weighting functions. This is a joint work with Tim Boonen of University of Amsterdam.

报告人简介：

姜文骏，加拿大卡尔加里大学数学与统计系助理教授。他于2019年在加拿大西安大略大学取得统计学博士学位（精算方向）。主要研究方向为最优（再）保险，风险分散，巨灾建模。主要研究成果发表在EJOR, IME, ASTIN, SAJ 等期刊上。