3 papers
q-fin.RM2026
A General Theory of Risk Sharing
Vasily Melnikov
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agent…
econ.TH2025
Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach
Vasily Melnikov
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the mu…
q-fin.RM2025
Risk Measure Duality Without Structure
Vasily Melnikov
We study risk measures on vector spaces of random variables which a priori have little structure, such as spaces lacking law invariance or a lattice structure. Ensuring the existen…