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Multivariate risk sharing and the derivation of individually rational Pareto optima

  • Alain Chateauneuf


    (IPAG - IPAG Business School - Ipag, PSE - Paris School of Economics, CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Mina Mostoufi


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

  • 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
Date of revision:
Publication status: Published in Documents de travail du Centre d'Economie de la Sorbonne 2014.03 - ISSN : 1955-611X. 2014
Handle: RePEc:hal:cesptp:halshs-00942114
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  1. Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00451997, HAL.
  2. 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.
  3. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
  4. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
  5. repec:dau:papers:123456789/5461 is not listed on IDEAS
  6. repec:hal:journl:halshs-00451997 is not listed on IDEAS
  7. repec:dau:papers:123456789/9713 is not listed on IDEAS
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