Optimal risk sharing with background risk
This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different qualitative properties of the efficient contracts. The new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers.
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|Date of creation:||2007|
|Publication status:||Published in Journal of Economic Theory, Elsevier, 2007, Vol. 133, N°1, pp. 152-176. 〈10.1016/j.jet.2005.10.002〉|
|Note:||View the original document on HAL open archive server: https://hal-hec.archives-ouvertes.fr/hal-00538974|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
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