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q-fin.RM2019
Nash Equilibria in Optimal Reinsurance Bargaining
Michail Anthropelos, Tim J. Boonen
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class o…
q-fin.RM2014
Equilibrium in risk-sharing games
Michail Anthropelos, Constantinos Kardaras
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where…
q-fin.RM2009
Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
Michail Anthropelos, Gordan Zitkovic
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming tha…