3 papers
q-fin.RM2026
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…
econ.TH2025
Optimal allocations with distortion risk measures and mixed risk attitudes
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonoton…
q-fin.RM2024
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…