英文标题：
《Equilibrium in risk-sharing games》
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作者：
Michail Anthropelos and Constantinos Kardaras
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最新提交年份：
2016
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英文摘要：
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents\' strategic sets consist of all possible sharing securities and pricing kernels that are consistent with Arrow-Debreu sharing rules. First, it is shown that agents\' best response problems have unique solutions. The risk-sharing Nash equilibrium admits a finite-dimensional characterisation and it is proved to exist for arbitrary number of agents and be unique in the two-agent game. In equilibrium, agents declare beliefs on future random outcomes different than their actual probability assessments, and the risk-sharing securities are endogenously bounded, implying (among other things) loss of efficiency. In addition, an analysis regarding extremely risk tolerant agents indicates that they profit more from the Nash risk-sharing equilibrium as compared to the Arrow-Debreu one.
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中文摘要：
绝大多数风险分担交易涉及的代理很少，每个代理都会对证券的结构和价格产生重大影响。本文提出了一个博弈，其中代理人的策略集由所有可能的共享证券和符合Arrow-Debreu共享规则的定价核组成。首先，研究表明，代理的最佳响应问题有独特的解决方案。风险分担纳什均衡具有有限维的特征，并且证明了它在任意数量的代理中是存在的，并且在两代理博弈中是唯一的。在均衡状态下，代理人对未来随机结果的信念与其实际概率评估不同，风险分担证券是内生有界的，这意味着（除其他外）效率的损失。此外，一项关于风险容忍度极高的代理人的分析表明，与Arrow-Debreu均衡相比，他们从纳什风险分担均衡中获益更多。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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