This paper generalizes the results of Suijs, De Waegenaere and Borm (1998) to arbitrary risks. It provides Pareto optimal allocations and shows that the zero utility premium calculation principle yields a core-allocation.

In perfectly competitive economies under uncertainty, there is a well-known equivalence between a formulation with contingent goods and a formulation with state-specific securities followed by spot markets for goods. In this paper, I examine whether this equivalence carries over in a particular...

Owners of stochastic assets can pool their endowments to smoothen and insure individual payoffs across outcomes and time. We explore, in such a setting, how contingent shadow prices on aggregate resources can be used for three purposes: first, to design mutual contracts for risk averse agents;...