Pareto‑Optimal Peer‑to‑Peer Risk Sharing with Robust Distortion Risk Measures
The paper explores Pareto optimality in decentralized peer‑to‑peer risk‑sharing markets using robust distortion risk measures. It characterizes optimal risk allocations, influenced by agents' tail risk assessments. Using flood risk insurance as an example, the study compares decentralized and centralized market structures, highlighting benefits and drawbacks of decentralized insurance.