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.

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Year of publication:	2014-01
Authors:	Chateauneuf, Alain ; Mostoufi, Mina ; Vyncke, David
Institutions:	Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Multivariate risk sharing \| comonotonicity \| individually rational Pareto optima

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Extent:	application/pdf
Series:	Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X.
Type of publication:	Book / Working Paper
Notes:	15 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D70 - Analysis of Collective Decision-Making. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010735117