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Creators/Authors contains: "F. Biagini, A. Doldi"

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  1. (, Mathematics and financial economics)
    We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bu ̈hlmann’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 Bu ̈hlmann and the SORTE definition, each agent is behaving ra- tionally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bu ̈hlmann’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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    Accepted Manuscript Full Text Available