WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS
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DOI: 10.1017/asb.2020.6
Abstract: We study a weighted comonotonic risk-sharing problem among multiple agents with distortion risk measures under heterogeneous beliefs. The explicit forms of optimal allocations are obtained, which are Pareto-optimal. A necessary and sufficient condition is given… read more here.
Keywords: risk sharing; risk; comonotonic risk; heterogeneous beliefs ... See more keywords