英文标题：
《Systemic Optimal Risk Transfer Equilibrium》
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作者：
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco
Frittelli, Thilo Meyer-Brandis
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最新提交年份：
2020
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英文摘要：
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the B\\\"uhlmann\'s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the B\\\"uhlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In B\\\"uhlmann\'s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.
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中文摘要：
我们提出了一个系统最优风险转移均衡（SORTE）的新概念，这一概念是受B“uhlmann的均衡风险交换经典概念的启发。我们提供了充分的一般假设，以保证此类SORTE的存在性、唯一性和帕累托最优性。在B“uhlmann和SORTE定义中，在预算约束下，每个代理通过最大化其预期效用来理性行事。这两种方法因预算限制而异。在B中\\“uhlmann的定义——分配预算约束的向量是先验的。相反，在SORTE方法中，分配预算约束的向量是通过解决系统效用最大化而内生确定的。SORTE优先考虑问题的系统方面，以优化整体系统性能，而不是个人合理性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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