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Inf-Convolution of Choquet Integrals and Applications in Optimal Risk Transfer

Author

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  • Nabil Kazi-Tani

    (LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

Motivated by reinsurance optimization, we study in this paper some particular optimal risk transfer problems, between two economic agents who do not share the same risk vision and anticipation. More precisely, we conduct an analysis of Choquet integrals, as non necessarily law invariant monetary risk measures. We first establish a new representation result of convex comonotone risk measures, then we give a representation result of Choquet integrals by introducing the notion of local distortion. This allows us to compute in an explicit manner the inf-convolution of two Choquet integrals, with examples illustrating the impact of the absence of the law invariance property.

Suggested Citation

  • Nabil Kazi-Tani, 2018. "Inf-Convolution of Choquet Integrals and Applications in Optimal Risk Transfer," Working Papers hal-01742629, HAL.
    • Handle: RePEc:hal:wpaper:hal-01742629
    Note: View the original document on HAL open archive server: https://hal.science/hal-01742629v1
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    References listed on IDEAS

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