IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v336y2024i1d10.1007_s10479-022-04652-0.html
   My bibliography  Save this article

Multivariate systemic optimal risk transfer equilibrium

Author

Listed:
  • Alessandro Doldi

    (Università degli Studi di Milano)

  • Marco Frittelli

    (Università degli Studi di Milano)

Abstract

A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: “Systemic optimal risk transfer equilibrium”, Mathematics and Financial Economics (2021), for the analysis of the equilibrium among financial institutions or in insurance-reinsurance markets. A SORTE conjugates the classical Bühlmann’s notion of a risk exchange equilibrium with a capital allocation principle based on systemic expected utility optimization. In this paper we extend such a notion to the case when the value function to be optimized is multivariate in a general sense, and it is not simply given by the sum of univariate utility functions. This takes into account the fact that preferences of single agents might depend on the actions of other participants in the game. Technically, the extension of SORTE to the new setup requires developing a theory for multivariate utility functions and selecting at the same time a suitable framework for the duality theory. Conceptually, this more general framework allows us to introduce and study a Nash Equilibrium property of the optimizer. We prove existence, uniqueness, and the Nash Equilibrium property of the newly defined Multivariate Systemic Optimal Risk Transfer Equilibrium.

Suggested Citation

  • Alessandro Doldi & Marco Frittelli, 2024. "Multivariate systemic optimal risk transfer equilibrium," Annals of Operations Research, Springer, vol. 336(1), pages 435-480, May.
    • Handle: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04652-0
    DOI: 10.1007/s10479-022-04652-0
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10479-022-04652-0
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10479-022-04652-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04652-0. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.