.png){kind=icon}
.png){kind=icon}
Return
Multivariate systemic optimal risk transfer equilibrium
.png){kind=icon}
OA
AI
DOI：10.1007/s10479-022-04652-0.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: Systemic optimal risk transfer equilibrium, Mathematics and Financial Economics (2021), for the analysis of the equilibrium among financial institutions or in insurance-reinsurance markets. A SORTE conjugates the classical Buhlmann's notion of a risk exchange equilibrium with a capital allocation principle based on systemic expected utility optimization. In this paper we extend such a notion to the case when the value function to be optimized is multivariate in a general sense, and it is not simply given by the sum of univariate utility functions. This takes into account the fact that preferences of single agents might depend on the actions of other participants in the game. Technically, the extension of SORTE to the new setup requires developing a theory for multivariate utility functions and selecting at the same time a suitable framework for the duality theory. Conceptually, this more general framework allows us to introduce and study a Nash Equilibrium property of the optimizer. We prove existence, uniqueness, and the Nash Equilibrium property of the newly defined Multivariate Systemic Optimal Risk Transfer Equilibrium.
Keywords:
Equilibrium
Systemic Utility Maximization
Risk Transfer Equilibrium
Systemic Risk
G1
C610
C650
Journal
IF:
4.5
Papers:
8.0K
Citations:
2.1W