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Multivariate risk sharing and the derivation of individually rational Pareto optima

Author

Listed:
  • Chateauneuf, Alain
  • Mostoufi, Mina
  • Vyncke, David

Abstract

Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all Individually Rational Pareto optima can be computed according to our method.

Suggested Citation

  • Chateauneuf, Alain & Mostoufi, Mina & Vyncke, David, 2015. "Multivariate risk sharing and the derivation of individually rational Pareto optima," Mathematical Social Sciences, Elsevier, vol. 74(C), pages 73-78.
    • Handle: RePEc:eee:matsoc:v:74:y:2015:i:c:p:73-78
    DOI: 10.1016/j.mathsocsci.2014.12.004
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    References listed on IDEAS

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    1. 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.
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    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D70 - Microeconomics - - Analysis of Collective Decision-Making - - - General

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