Abstract:We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility preferences. We show that the corresponding convergence rate is typically only $n^{1/2}$ instead of the conventional $n$, with $n$ the multiplicity of risks in the pool, depending upon the precise risk preferences.
From: Gregor Svindland [view email]
[v1]
Sun, 4 Jul 2021 20:59:05 UTC (9 KB)
[v2]
Sat, 27 Jun 2026 14:26:14 UTC (29 KB)
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