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Pareto Optimal Risk Exchanges and a System of Differential Equations: a Duality Theorem

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  • Wyler, Erich

Abstract

This article, based on a result of Borch and an extension of Bühlmann, gives a complete characterization of Pareto optimal risk exchanges by a system of differential equations linking the derivate of agents contributions to their risk aversion coefficients.

Suggested Citation

  • Wyler, Erich, 1990. "Pareto Optimal Risk Exchanges and a System of Differential Equations: a Duality Theorem," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 23-31, April.
    • Handle: RePEc:cup:astinb:v:20:y:1990:i:01:p:23-31_00
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    Cited by:

    1. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
    2. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
    3. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
    4. Aase, Knut K., 2006. "Optimal Risk-Sharing and Deductables in Insurance," Discussion Papers 2006/24, Norwegian School of Economics, Department of Business and Management Science.

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