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 …

In this paper, we study Pareto optimality of reinsurance arrangements under general model
settings. We give the necessary and sufficient conditions for a reinsurance contract to be …

We analyze optimal asset allocation in continuous time for a collective of tied-together
investors. We rely on a specific collective utility function which dates back to Karatzas et …

In a risk exchange, participants trade a privately owned risk for a share in a pool. If
participants agree on a valuation rule, it can be decided whether or not, according to the …

Groups of agents, such as participants in a collective pension fund, can decide to undertake
a joint investment and to define, ex ante, a rule for the division of proceeds. The collective …

Abstract The Expected Shortfall (ES) is one of the most important regulatory risk measures in
finance, insurance, and statistics, which has recently been characterized via sets of axioms …

We work with a multi-period system where a finite number of agents need to share multiple
monetary risks. We look for the solutions that are both Pareto efficient utility-wise and …

In this paper we consider the problem of optimal risk allocation or risk exchange with respect
to convex risk functionals, which not necessarily are monotone or cash invariant. General …

We consider the problem of finding an efficient and fair ex-ante rule for division of an
uncertain monetary outcome among a finite number of von Neumann–Morgenstern agents …

The economics of cybersecurity is an emerging field of research helping organizations make
informed investment decisions about protecting their information assets from a wide range of …