Optimal risk transfer

This article develops a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets, in the general framework of convex risk measures. The modelling involves a minimization of the risk borne by issuer given the constraint imposed by a buyer who enters the transaction if and only if her risk remains below a given threshold. Both agents have also the opportunity to invest all their residual wealth on financial markets but may not have the same access to financial investments.