Optimal risk sharing with different reference probabilities

We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a theoretical point of view, and give sufficient conditions for the existence of Pareto optimal allocations in this framework. Our results are illustrated by several examples.

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Year of publication:	2009
Authors:	Acciaio, Beatrice ; Svindland, Gregor
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 3, p. 426-433
Publisher:	Elsevier
Keywords:	IM51 IE12 Optimal risk sharing Law-invariance Convolution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004973641