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Multivariate risk sharing and the derivation of individually rational Pareto optima

  • Alain Chateauneuf


    (Axe Economie Mathématique et Jeux - CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - IPAG Business School - Business School - EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics)

  • Mina Mostoufi


    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS)

  • David Vyncke


    (Universiteit Gent - Vakgroep Toegepaste Wiskunde en Informatica)

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.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00942114.

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Date of creation: Jan 2014
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Handle: RePEc:hal:cesptp:halshs-00942114
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  1. repec:hal:journl:halshs-00451997 is not listed on IDEAS
  2. 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.
  3. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
  4. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
  5. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
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