Search Results for author:
Found 6 papers, 0 papers with code
Negatively dependent optimal risk sharing
We analyze the problem of optimally sharing risk using allocations that exhibit counter-monotonicity, the most extreme form of negative dependence.
Pairwise counter-monotonicity
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence.
Risk sharing, measuring variability, and distortion riskmetrics
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex.
Insurance design and arson-type risks
We design the insurance contract when the insurer faces arson-type risks.
Envelope theorem and discontinuous optimisation: the case of positioning choice problems
To obtain this result we first show that the Dini superdifferential is always well-defined for the maxima of positioning choice problems.
Ex-post moral hazard and manipulation-proof contracts
We examine the trade-off between the provision of incentives to exert costly effort (ex-ante moral hazard) and the incentives needed to prevent the agent from manipulating the profit observed by the principal (ex-post moral hazard).
