A numerical approach for a class of risk-sharing problems
Abstract 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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- Carlier, G. & Dana, R.-A. & Galichon, A., 2012.
"Pareto efficiency for the concave order and multivariate comonotonicity,"
Journal of Economic Theory,
Elsevier, vol. 147(1), pages 207-229.
- Guillaume Carlier & Rose-Anna Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Sciences Po publications info:hdl:2441/5rkqqmvrn4t, Sciences Po.
- Guillaume Carlier & Rose-Anna Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Post-Print hal-01053549, HAL.
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- Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
- Hara, C. & Christoph Kuzmics, 2004. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics 0452, Faculty of Economics, University of Cambridge.
- Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper 323, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research.
- G. Carlier & R. Dana, 2008. "Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 189-223, August.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
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- Chevallier, Eric & Müller, Heinz H., 1994. "Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 24(01), pages 5-18, May.
- Carlier, G. & Dana, R. A., 2003. "Core of convex distortions of a probability," Journal of Economic Theory, Elsevier, vol. 113(2), pages 199-222, December.
- Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-26, July. Full references (including those not matched with items on IDEAS)
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