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UID:20251123T200337EST-5639Lv7nex@132.216.98.100
DTSTAMP:20251124T010337Z
DESCRIPTION:Title: Bilateral Risk Sharing with Heterogeneous Beliefs and Ex
 posure Constraints.\n\nAbstract: We study bilateral risk sharing under no 
 aggregate uncertainty\, where one agent has Expected-Utility (EU) preferen
 ces and the other agent has Rank-Dependent Utility preferences with a gene
 ral probability distortion function. We impose exogenous constraints on th
 e risk exposure for both agents\, and we allow for any type or level of be
 lief heterogeneity. We show that Pareto-optimal risk-sharing contracts can
  be obtained via a constrained utility maximization of one agent\, under a
  participation constraint of the other agent. This allows us to give an ex
 plicit characterization of optimal risk-sharing contracts. In particular\,
  we show that an optimal contract is a monotone function of the likelihood
  ratio\, where the latter is obtained from Lebesgue’s Decomposition Theore
 m. Moreover\, unlike in the case where both agents have EU preferences\, c
 ommon beliefs might still lead to a risk-sharing situation in which bettin
 g is Pareto-improving\; and betting might not always be Pareto-improving w
 hen beliefs are divergent. We also show that if agents disagree about like
 lihoods but not about zero-probability events\,then Pareto-optimal allocat
 ions are deterministic (no-betting llocations)\, as long as the counterpar
 ty’s level of probabilistic risk-aversion exceeds the level of belief hete
 rogeneity between the agents.\n	(This is joint work with Tim Boonen)\n
DTSTART:20191018T193000Z
DTEND:20191018T203000Z
LOCATION:Room PK-5115 \, CA\, Pavillon President-Kennedy\, 201 Ave. Preside
 nt-Kennedy
SUMMARY:Mario Ghossoub\, University of Waterloo
URL:/mathstat/channels/event/mario-ghossoub-university
 -waterloo-301768
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