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:	2009-06
Authors:	Acciaio, Beatrice ; Svindland, Gregor
Institutions:	London School of Economics (LSE)
Subject:	optimal risk sharing \| law-invariance \| convolution

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Insurance: Mathematics and Economics, June, 2009, 44(3), pp. 426-433. ISSN: 0167-6687
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010745569