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UID:20250701T093732EDT-0390XGTPl0@132.216.98.100
DTSTAMP:20250701T133732Z
DESCRIPTION:Optimal dynamic risk sharing under the time-consistent mean-var
 iance criterion\n\nIn this paper\, we consider a dynamic Pareto-optimal ri
 sk sharing problem under the time consistent mean-variance criterion. A gr
 oup of n insurers is assumed to share an exogenous risk whose dynamics is 
 modeled by a Levy process. By solving the extended Hamilton-Jacobi-Bellman
  equation and utilizing the Lagrangian method\, an explicit form of the eq
 uilibrium bearing function for each insurer is obtained. We show that the 
 equilibrium bearing functions are mixtures of two common risk sharing stra
 tegies\, namely the proportional and stop-loss strategies. Thanks to their
  explicit forms\, analytic properties of the equilibrium bearing functions
  are thoroughly examined. We later consider three extensions to the origin
 al model by adding one of the following features: a risk sharing constrain
 t on the insurers\, a set of financial investment opportunities\, and the 
 insurers' ambiguity towards the exogenous risk. For these extended models\
 , the equilibrium bearing functions are once again explicitly solved\, and
  the impact of the constraint\, investment\, and ambiguity component on th
 e bearing functions are further examined. We conclude the paper by applyin
 g our results to the classical risk sharing problem in a pure exchange eco
 nomy\n
DTSTART:20181211T153000Z
DTEND:20181211T163000Z
LOCATION:Room PK-4610\, CA\, UQAM
SUMMARY:Bin Li  (University of Waterloo)
URL:/mathstat/channels/event/bin-li-university-waterlo
 o-292378
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