We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann’s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann’s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.

我们提出了系统最优风险转移均衡（SORTE）的新概念，该概念的灵感来自于布尔曼（Bühlmann）的经典均衡风险交换概念。我们提供足够的一般假设，以保证此类SORTE的存在，唯一性和帕累托最优。在Bühlmann和SORTE的定义中，在预算约束下，每个代理商都通过最大化其预期效用来合理地表现。两种方法因预算限制而有所不同。在Bühlmann的定义中，分配预算约束的向量是先验的。相反，在SORTE方法中，分配预算约束的向量是通过求解系统效用最大化来内生确定的。SORTE优先考虑问题的系统方面，以优化整体系统性能，