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research article : Segmented risk sharing in a continuous-time setting

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Author Info
Hector Chade (Department of Economics, Arizona State University, Main Campus, PO Box 873806,Tempe, AZ 85287-3806, USA)
Bart Taub () (Department of Economics, University of Illinois, 1206 S. 6th Street, Champaign, IL 61820, USA)
Abstract

The economy we study is comprised of a continuum of individuals. Each has a stochastic endowment that evolves continuously and independently of all other individuals' endowment processes. Individuals are risk averse and would therefore like to insure their endowment processes. The mutual independence of their endowment processes makes it feasible for them to obtain this insurance by pooling their endowments. We investigate whether such a scheme would survive as an equilibrium in a noncooperative setting.

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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 20 (2002)
Issue (Month): 4 ()
Pages: 645-675
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Handle: RePEc:spr:joecth:v:20:y:2002:i:4:p:645-675

Note: Received: October 16, 2000; revised version: August 8, 2001
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Related research
Keywords: Continuous-time methods; Risk sharing; Limited enforcement.;

Find related papers by JEL classification:
C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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This page was last updated on 2009-12-22.

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