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.

MoreLess

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

More details

Extent:	application/pdf
Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Economic Theory, 2008, Vol. 36, no. 2. pp. 189-223.Length: 34 pages
Classification:	D8 - Information and Uncertainty ; C0 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011072557