We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so …-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected … Shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish an inequality for …

We study risk sharing games with quantile-based risk measures and heterogeneous beliefs, motivated by the use of … equivalent to equilibrium allocations, and the equilibrium price is unique. For Value-at-Risk (VaR) agents or mixed VaR and ES … agents, a competitive equilibrium does not exist. Our results generalize existing ones on risk sharing games with risk …