We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be...

Abstract We introduce a generalised subgradient for law-invariant closed convex risk measures on L 1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.

We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a theoretical point of view, and give...