Multivariate risk sharing and the derivation of individually rational Pareto optima
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.
|Date of creation:||Jan 2014|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2014.03 - ISSN : 1955-611X. 2014|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00942114|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
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- Carlier, G. & Dana, R.-A. & Galichon, A., 2012.
"Pareto efficiency for the concave order and multivariate comonotonicity,"
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- Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August. Full references (including those not matched with items on IDEAS)
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