Systemic optimal risk transfer equilibrium
Systemic optimal risk transfer equilibrium
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DOI：
10.1007/s11579-020-00277-8
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发表时间：
2019-07
影响因子：
1.6
通讯作者：
F. Biagini;Alessandro Doldi;J. Fouque;M. Frittelli;T. Meyer-Brandis
中科院分区：
文献类型：
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作者：
F. Biagini;Alessandro Doldi;J. Fouque;M. Frittelli;T. Meyer-Brandis
本文从<s:1> hlmann经典的均衡风险交换概念出发，提出了系统最优风险转移均衡（SORTE）的概念。我们提供了足够的一般假设来保证这种SORTE的存在性、唯一性和Pareto最优性。在b<s:1> hlmann定义和SORTE定义中，在给定预算约束的情况下，每个代理都通过最大化他/她的期望效用来实现理性行为。这两种方法因预算限制而不同。在b<s:1> hlmann的定义中，分配预算约束的向量是先验的。相反，在SORTE方法中，分配预算约束的向量是由解决系统效用最大化内生决定的。SORTE优先考虑问题的系统方面，以优化整体系统绩效，而不是个人理性。
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann’s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann’s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.