Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 925-973 |
| Seitenumfang | 49 |
| Fachzeitschrift | Finance and stochastics |
| Jahrgang | 23 |
| Ausgabenummer | 4 |
| Frühes Online-Datum | 12 Aug. 2019 |
| Publikationsstatus | Veröffentlicht - Okt. 2019 |
| Extern publiziert | Ja |
Abstract
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.
ASJC Scopus Sachgebiete
- Mathematik (insg.)
- Statistik und Wahrscheinlichkeit
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Entscheidungswissenschaften (insg.)
- Statistik, Wahrscheinlichkeit und Ungewissheit
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in: Finance and stochastics, Jahrgang 23, Nr. 4, 10.2019, S. 925-973.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Risk sharing for capital requirements with multidimensional security markets
AU - Liebrich, Felix-Benedikt
AU - Svindland, Gregor
PY - 2019/10
Y1 - 2019/10
N2 - We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.
AB - We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.
KW - Capital requirements
KW - Equilibria
KW - Law-invariant acceptance sets
KW - Multidimensional security spaces
KW - Pareto-optimal risk allocations
KW - Polyhedral acceptance sets
KW - Robustness of optimal allocations
UR - http://www.scopus.com/inward/record.url?scp=85070821698&partnerID=8YFLogxK
U2 - 10.1007/s00780-019-00402-6
DO - 10.1007/s00780-019-00402-6
M3 - Article
VL - 23
SP - 925
EP - 973
JO - Finance and stochastics
JF - Finance and stochastics
SN - 0949-2984
IS - 4
ER -