Multi-period risk sharing under financial fairness

Hailong Bao

Research output: ThesisDoctoral Thesis

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Abstract

The theme of this dissertation is to investigate how financial risks can be allocated in a multi-agent and multi-period setting under the economic principle of “Pareto efficiency and financial fairness” (PEFF). The dissertation is a combination of theory and practice and consists of three papers. In the first paper, the existence and uniqueness of the PEFF solution, which combines risk preferences with risk-neutral valuation, is established theoretically. This PEFF approach is adapted into a moving-horizon approach in the second paper, and is then applied to calculate how investment risks can be allocated between current and future benefit payments for a collective pension fund within a realistic ALM framework. The last paper of the trilogy extends the results further by incorporating risk preferences on an individual level.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Schumacher, Hans, Promotor
  • Ponds, Eduard, Promotor
Award date20 Dec 2016
Place of PublicationTilburg
Publisher
Print ISBNs9789056685010
Publication statusPublished - 2016

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    Bao, H. (2016). Multi-period risk sharing under financial fairness. CentER, Center for Economic Research.