A numerical approach for a class of risk-sharing problems
AbstractAbstract This paper deals with risk-sharing problems between many agents, each of whom having a strictly concave law invariant utility. In the special case where every agent's utility is given by a concave integral functional of the quantile of her individual endowment, we fully characterize the optimal risk-sharing rules. When there are many agents, these rules cannot be computed analytically. We therefore give a simple convergent algorithm and illustrate it on several examples.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 47 (2011)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/jmateco
Risk-sharing Comonotonicity Sup-convolution Calculus of variations Numerical approximation;
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