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:	2014-01-06
Authors:	Chateauneuf, Alain ; Mostoufi, Mina ; Vyncke, David
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	Multivariate risk sharing \| Comonotonicity \| Individually rational Pareto optima

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-074 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010754722