This paper studies bilateral risk sharing under no aggregate uncertainty, where one agent has Expected-Utility preferences and the other agent has Rank-dependent utility preferences with a general probability distortion function. We impose exogenous constraints on the risk exposure for both agents, and we allow for any type or level of belief heterogeneity. We show that Pareto-optimal risk-sharing contracts can be obtained via a constrained utility maximization under a participation constraint of the other agent. This allows us to give an explicit characterization of optimal risk-sharing contracts. In particular, we show that an optimal risk-sharing contract contains allocations that are monotone functions of the likelihood ratio, where the latter is obtained from Lebesgue’s Decomposition Theorem.

中文翻译：

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异质信念和接触约束的双边风险共担

本文研究了在没有总不确定性的情况下的双边风险分担，其中一个代理人具有期望效用偏好，而另一个代理人具有依赖于等级的效用偏好，并且具有一般概率失真函数。我们对这两种因素的风险暴露施加外生约束，并且我们允许任何类型或级别的信念异质性。我们表明，在其他代理人的参与约束下，可以通过约束效用最大化来获得帕累托最优风险分担合同。这使我们能够明确地描述最佳风险分担合同。特别是，我们表明最优的风险分担合同包含的分配是似然比的单调函数，后者是从勒贝格分解定理中获得的。