Risk exchange as a market or production game

Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the latter mirrors the two-fund separation in allocating to each agent some sure holding plus a fraction of the aggregate.

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Year of publication:	2007-09-03
Authors:	Borglin, Anders ; Flåm, Sjur Didrik
Institutions:	Institutt for Økonomi, Universitetet i Bergen
Subject:	securities \| mutual insurance \| market or production games \| transferable utility \| extremal convolution \| core solutions \| variance or risk aversion \| two-fund separation \| CAPM

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Extent:	application/pdf
Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Working Papers in Economics Number 09/07 27 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008876396