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Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
9 references·11 citing·43 second hop
Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities (2007)Two-persons efficient risk-sharing and eq…Core of convex distortions of a probability (2003)Core of convex distortions of…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…The Economics of Risk and Time (2001)The Economics of Risk and TimeFoundations for Financial Economics. (1989)Foundations for Financial Eco…A unifying approach to axiomatic non-expected utility theories (1989)A unifying approach to axioma…Ordinal independence in nonlinear utility theory (1988)Ordinal independence in nonli…Foundations for Financial Economics (1988)Foundations for Financial Eco…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…Monopoly and product quality (1978)Monopoly and product qualityProbability weighting and insurance demand in a unified framework (2022)Probability weighting and ins…Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance (2020)Comparative risk aversion in …Quantile-Based Risk Sharing (2018)Quantile-Based Risk SharingOptimal insurance under rank‐dependent utility and incentive compatibility (2018)Optimal insurance under rank‐…Equimeasurable Rearrangements with Capacities (2014)Equimeasurable Rearrangements…OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY (2013)OPTIMAL INSURANCE DESIGN UNDE…Equimeasurable Rearrangements with Capacities (2012)Equimeasurable Rearrangements…Pareto efficiency for the concave order and multivariate comonotonicity (2011)Pareto efficiency for the con…Extreme events and entropy: A multiple quantile utility model (2011)Extreme events and entropy: A…OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES (2010)OPTIMAL DEMAND FOR CONTINGENT…Optimal risk sharing under distorted probabilities (2009)Optimal risk sharing under di…Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Risk Aversion in the Small and in the Large (1964)First order versus second order risk aversion (1990)An axiomatization of cumulative prospect theory (1993)Risk Aversion in the Laboratory (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Choices, values, and frames. (1984)Prospect theory: An analysis of decision under risk (1988)An empirical test of ordinal independence (1994)Quantile Maximization in Decision Theory* (2009)"Expected Utility" Analysis without the Independence Axiom (1982)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)COHERENCE AND ELICITABILITY (2014)Risk Preferences and the Macroeconomic Announcement Premium (2018)Existence of an Equilibrium for a Competitive Economy (1954)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Insurance with multiple insurers: A game-theoretic approach (2017)An Axiomatic Foundation for the Expected Shortfall (2019)Regression-Based Expected Shortfall Backtesting (2020)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Advances in prospect theory: Cumulative representation of uncertainty (1992)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan (2019)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)A Simple Nonparametric Approach to Derivative Security Valuation (1996)Asset Pricing under Asymmetric Information (2001)Economic integration, industrial specialization, and the asymmetry of macroeconomic fluctuations (2001)Monopoly with Incomplete Information (1984)The Theory of Incentives: The Principal-Agent Model (2001)Crowdfunding: Tapping the right crowd (2013)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Option‐Implied Risk Aversion Estimates (2004)Financial liberalization, private investment and portfolio choice: Financialization of real sectors in emerging markets (2008)
this work references cited by second hop

References

  • 1978Monopoly and product quality3,305 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 1989Foundations for Financial Economics.831 cited
  • 1988Foundations for Financial Economics492 cited
  • 1987Risk aversion in the theory of expected utility with rank dependent probabilities430 cited
  • 1988Ordinal independence in nonlinear utility theory130 cited
  • 2003Core of convex distortions of a probability106 cited
  • 1989A unifying approach to axiomatic non-expected utility theories101 cited

Cited by

  • 2018Quantile-Based Risk Sharing152 cited
  • 2013OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY124 cited
  • 2010OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES88 cited
  • 2018Optimal insurance under rank‐dependent utility and incentive compatibility79 cited
  • 2011Pareto efficiency for the concave order and multivariate comonotonicity58 cited
  • 2009Optimal risk sharing under distorted probabilities41 cited
  • 2022

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Probability weighting and insurance demand in a unified framework
39 cited
  • 2011Extreme events and entropy: A multiple quantile utility model28 cited
  • 2014Equimeasurable Rearrangements with Capacities20 cited
  • 2020Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance10 cited
  • 2012Equimeasurable Rearrangements with Capacities4 cited