标题： 在扩展池中的鲁棒最优风险分担与风险溢价 显示英文标题

标题： Robust Optimal Risk Sharing and Risk Premia in Expanding Pools

摘要： 我们研究了合作代理池中最优风险分担问题。我们分析了与帕累托最优风险分担合同相关的 certainty equivalents 和风险溢价的渐近行为，随着池的扩展而变化。我们首先在期望效用偏好下研究这个问题，使用客观或主观给定的概率模型。接下来，我们通过显式考虑关于概率模型（模糊性）的不确定性，开发了一种稳健的方法。由此产生的稳健 certainty equivalents 和风险溢价综合了风险规避和模糊规避。我们提供了在扩展池中的帕累托最优风险分担诱导下，它们的极限和收敛率的明确结果。 显示英文摘要

摘要： We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands. We first study this problem under expected utility preferences with an objectively or subjectively given probabilistic model. Next, we develop a robust approach by explicitly taking uncertainty about the probabilistic model (ambiguity) into account. The resulting robust certainty equivalents and risk premia compound risk and ambiguity aversion. We provide explicit results on their limits and rates of convergence, induced by Pareto optimal risk sharing in expanding pools.