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UID:20260620T193016EDT-5380t2LjZH@132.216.98.100
DTSTAMP:20260620T233016Z
DESCRIPTION:Title: Competitive Equilibria in a Comonotone Market.\n\nAbstra
 ct: n this work\, we investigate competitive equilibria in a special type 
 of incomplete markets\, referred to as a comonotone market\, where agents 
 can only trade such that their wealth allocation is comonotonic. The comon
 otone market is motivated by two seemingly unrelated observations. First\,
  in a complete market\, under mild conditions on the preferences\, an equi
 librium allocation is generally comonotonic. Second\, in a standard insura
 nce market\, the allocation of risk among the insured\, the insurer and th
 e reinsurers is assumed to be comonotonic a priori to the risk-exchange. T
 wo popular classes of preferences in risk management and behavioural econo
 mics\, dual utilities (DU) and rank-dependent expected utilities (RDU)\, a
 re used to formulate agents’ objectives. We present various results on pro
 perties and characterization of competitive equilibria in this framework\,
  and in particular their relation to complete markets. For DU-comonotone m
 arkets\, we find the equilibrium in closed-form and for RDU-comonotone mar
 kets\, we obtain closed-form in special cases. We further propose an algor
 ithm to numerically obtain competitive equilibria based on discretization\
 , which works for both the DU-comonotone market and the RDU-comonotone mar
 ket. Although the comonotone and complete markets are closely related\, ma
 ny of our findings are intriguing and in sharp contrast to results in the 
 literature on complete markets in terms of existence\, uniqueness\, and cl
 osed-form solutions of the equilibria\, and monotonicity of the pricing ke
 rnel. This is joint work with Tim Boonen and Ruodu Wang.\n
DTSTART:20190322T180000Z
DTEND:20190322T190000Z
LOCATION:Room PK-R250\, CA\, Pavillon President-Kennedy\, 201 Ave. Presiden
 t-Kennedy
SUMMARY:Fangda Liu\, Georgia State University
URL:/mathstat/channels/event/fangda-liu-georgia-state-
 university-295519
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