WatRISQ Seminar: Risk Redistribution with Distortion Risk MeasuresExport this event to calendar

Tuesday, March 10, 2015 — 4:00 PM to 5:00 PM EDT

by Prof. Tim Boonen, University of AmsterdamSummary

Seminar discusses optimal risk redistribution between firms, such as banks and insurance companies.
The introduction of the Basel II regulation and the Swiss Solvency Test (SST) has increased the use of risk measures to evaluate financial or insurance risk. We consider the case where firms use a distortion risk measure (also called dual utility) to evaluate risk. The paper first characterizes all Pareto optimal redistributions. Thereafter, it characterizes competitive equilibria in settings where a well-functioning market exists and firms act as price-takers. It also characterizes optimal redistributions in cases where a well-functioning market does not exist, so that redistributions can only be obtained via Over-the-Counter trade. Finally, results on equilibria in markets with also expected utility maximizers are discussed.
Cost 
Free
Location 
DC - William G. Davis Computer Research Centre
Room 1304
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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