3 citations · 8 across the 16 of their papers we have counts for
5 papers · 1 filter
Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk…
Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures
Mario Ghossoub, Michael B. Zhu, Wing Fung Chong
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily…
Counter-monotonic risk allocations and distortion risk measures
Mario Ghossoub, Qinghua Ren, Ruodu Wang
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has onl…
Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities
Mario Ghossoub, Michael Boyuan Zhu
We study Pareto efficiency in a pure-exchange economy where agents' preferences are represented by risk-averse monetary utilities. These coincide with law-invariant monetary utilit…
Allocation Mechanisms in Decentralized Exchange Markets with Frictions
Mario Ghossoub, Giulio Principi, Ruodu Wang
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the…