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Optimal risk sharing with different reference probabilities

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Author Info
Acciaio, Beatrice
Svindland, Gregor
Abstract

We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a theoretical point of view, and give sufficient conditions for the existence of Pareto optimal allocations in this framework. Our results are illustrated by several examples.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4V9S2TY-1/2/6e8370e4a973c6898a0960e7412bf93f
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 44 (2009)
Issue (Month): 3 (June)
Pages: 426-433
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:426-433

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Web page: http://www.elsevier.com/locate/inca/505554

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Related research
Keywords: IM51 IE12 Optimal risk sharing Law-invariance Convolution;

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This page was last updated on 2009-12-30.

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