We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there exists a representative agent. Thereafter, we study two frameworks of capital adequacy more closely, namely polyhedral constraints and distribution-based constraints. We prove existence of optimal risk allocations and equilibria within these frameworks and elaborate on their robustness.

中文翻译：

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与多维证券市场的资本需求风险分担

我们考虑由资本充足率测试和证券市场引发的资本需求风险分担问题。参与共享过程的代理可能是异类的，因为它们应用不同的资本充足率测试并可以进入不同的证券市场。我们讨论了存在代表代理的条件。此后，我们将更紧密地研究资本充足率的两个框架，即多面体约束和基于分配的约束。我们在这些框架内证明了最佳风险分配和均衡的存在，并详细说明了其稳健性。