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Multivariate risk sharing and the derivation of individually rational Pareto optima

Author

Listed:
  • Alain Chateauneuf

    (IPAG - Business School, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Mina Mostoufi

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • David Vyncke

    (Universiteit Gent - Vakgroep Toegepaste Wiskunde en Informatica)

Abstract

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.

Suggested Citation

  • Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Multivariate risk sharing and the derivation of individually rational Pareto optima," PSE-Ecole d'économie de Paris (Postprint) hal-01161662, HAL.
    • Handle: RePEc:hal:pseptp:hal-01161662
    DOI: 10.1016/j.mathsocsci.2014.12.004
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    Keywords

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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D70 - Microeconomics - - Analysis of Collective Decision-Making - - - General

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