• DOI:10.1017/asb.2015.11
Corpus ID: 53141086

COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES

@article{Boonen2015COMPETITIVEEW,
  title={COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES},
  author={T. Boonen},
  journal={ASTIN Bulletin},
  year={2015},
  volume={45},
  pages={703 - 728}
}

T. Boonen

Published 2015

Economics

ASTIN Bulletin

Abstract This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel II regulation and the Swiss Solvency Test has increased the use of risk measures to evaluate financial or insurance risk. We consider the case where firms use a distortion risk measure (also called dual utility) to evaluate risk. The paper first characterizes all Pareto optimal redistributions. Thereafter, it characterizes all competitive equilibria. It… CONTINUE READING

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