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Multivariate risk sharing and the derivation of individually rational Pareto optima

Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all Individually Rational Pareto optima can be computed according to our method.
Year of publication:
2015
Authors: Chateauneuf, Alain ; Mostoufi, Mina ; Vyncke, David
Published in:
Mathematical Social Sciences. - Elsevier, ISSN 0165-4896. - Vol. 74.2015, C, p. 73-78
Publisher: Elsevier
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011209794
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