Groups of agents, such as participants in a collective pension fund, can decide to undertake a joint investment and to define, ex ante, a rule for the division of proceeds. The collective investment decision and the allocation rule together form a risk sharing scheme. Such a scheme defines a...

We work with a multi-period system where a finite number of agents need to share multiple monetary risks. We look for the solutions that are both Pareto efficient utility-wise and financially fair value-wise. A buffer enables the inter-temporal capital transfer. Expected utility is used to...

The bankruptcy problem is to divide a homogeneous divisible good (the “estate”) between claimants, when the sum of the claims exceeds the value of the estate. When the problem is looked at from an ex-ante point of view (i.e. before the size of the estate is revealed), it is possible to...

In a risk exchange, participants trade a privately owned risk for a share in a pool. If participants agree on a valuation rule, it can be decided whether or not, according to the given rule, these trades take place at equal value. If equality holds for all participants, then the exchange is said...