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Valeur ajoutée d'un transfert de risque et optimum de Pareto

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  • Louis Eeckhoudt
  • Patrick Roger

Abstract

[fre] Valeur ajoutée d'un transfert de risque et optimum de Pareto. . Dans cette note, nous démontrons deux résultats concernant la pareto-optimalité d'un transfert de risque réalisé en maximisant la valeur ajoutée créée par le transfert. La première proposition suppose que les deux agents ont une aversion absolue pour le risque décroissante ; la seconde considère le cas où le vendeur de la loterie a une fonction d'utilité exponentielle négative. Ces résultats complè­tent ceux obtenus dans un article précédent (Eeckhoudt-Roger [1994]). [eng] Value added of a risk transfer and pareto-optimality. . In a previous paper, we have used the concept of value added to characterize a risk sharing agreement. In this note we analyze conditions under which the value added maximization coincides with Pareto optimality. These conditions are either decreasing absolute risk aversion for each participant or an exponential utility for the seller.

Suggested Citation

  • Louis Eeckhoudt & Patrick Roger, 1998. "Valeur ajoutée d'un transfert de risque et optimum de Pareto," Revue Économique, Programme National Persée, vol. 49(2), pages 325-333.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1998_num_49_2_409981
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