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Sjur Didrik Flåm

was 1986-2016 professor at the Economics Department, University of Bergen, Norway. He is now affiliated with the Informatics Department at the same university. He has his Ph.D. in applied mathematics 1984 from the University of Delaware, US. He has done extensive consulting for business and government. He is associate editor of Journal of Convex Analysis, and has published in top journals of economics and mathematics. His research interests revolve around finance, game theory, insurance, and optimization.

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Sjur Didrik Flåm: On Measures, Pricing and Sharing of Risk

Suppose each member of some syndicate applies a monetary measure to valuate risk. Then, how might they reasonably share risk? What premiums could apply to insurance policies? More basically: can modestly informed members - via exchange between themselves - eventually allocate risk efficiently and fairly? These questions are framed here below by convoluting the members' monetary measures. If the resulting inf-convolution admits a global subgradient at the aggregate risk, then any such gradient provides equilibrium pricing in a pure exchange economy. Most important, its shown that clearing prices - and efficient sharing - might emerge after repeated bilateral exchanges.

Last modified: 2018.11.30.