Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities.

Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the Rank Dependent Expected Util- ity (RDU) are fully characterized. Speciﬁc attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient. Closed-form solutions are obtained for several examples.

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Year of publication:	2008-08
Authors:	Dana, Rose-Anne ; Carlier, Guillaume
Institutions:	Université Paris-Dauphine
Subject:	Law Invariant Utilities

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Extent:	application/pdf
Series:	Open Access publications from Université Paris-Dauphine.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Economic Theory (2008-08) v.36, p.189-223
Classification:	D8 - Information and Uncertainty ; C0 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008543995