Abstract
This Ph.D. thesis studies optimal risk capital allocation and optimal risk sharing. The first chapter deals with the problem of optimally allocating risk capital across divisions within a financial institution. To do so, an asymptotic approach is used to generalize the wellstudied AumannShapley value. Even if the AumannShapley value does not exist, which is due to nondifferentiability problems, this approach yields an explicit allocation rule. The second chapter involves optimal natural hedging of longevity risk among pension funds and life insurers. Lack of consensus regarding accurate pricing hampers trade. Techniques from cooperative game theory are used to characterize risk redistributions and prizes. The introduction of the Basel II regulation and the Swiss Solvency Test has increased the use of risk measures to evaluate financial or insurance risk. The third chapter deals with optimal trading if firms use risk measures to evaluate risk; both in an exchange market and in an illiquid market. Under mild conditions, there is a unique equilibrium risk redistribution. If the market is illiquid, the same risk redistribution is characterized axiomatically.
Original language  English 

Qualification  Doctor of Philosophy 
Awarding Institution 

Supervisors/Advisors 

Award date  15 Jan 2014 
Place of Publication  Tilburg 
Publisher  
Print ISBNs  9789056683795 
Publication status  Published  2014 
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Cite this
Boonen, T. J. (2014). Gametheoretic approaches to optimal risk sharing. CentER, Center for Economic Research.