This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

This paper studies the set of Pareto optimal insurance contracts and the core of an
insurance game. Our setting allows multiple insurers with translation invariant preferences …

We study risk sharing problems with quantile-based risk measures and heterogeneous
beliefs, motivated by the use of internal models in finance and insurance. Explicit forms of …

We consider the problem of finding (Pareto-) optimal allocations of risk among finitely many
agents. The associated individual risk measures are law-invariant, but with respect to agent …

In this paper, we study the risk sharing problem among multiple agents using Lambda Value-
at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are …

This paper studies the problem of optimal reinsurance contract design. We let the insurer
use dual utility, and the premium is an extended Wang's premium principle. The novel …

We consider the risk sharing problem for capital requirements induced by capital adequacy
tests and security markets. The agents involved in the sharing procedure may be …

In this paper, we consider a dynamic Pareto optimal risk‐sharing problem under the time‐
consistent mean‐variance criterion. A group of n insurers is assumed to share an …

A functional defined on random variables f is law invariant with respect to a reference
probability if its value only depends on the distribution of its argument f under that measure …

We study the problem of optimising the aggregated utility within a system of agents under
the assumption that individual utility assessments are law-invariant: they rank Savage acts …