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Risk exchange as a market or production game

Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the latter mirrors the two-fund separation in allocating to each agent some sure holding plus a fraction of the aggregate.

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File URL: http://www.uib.no/filearchive/No.%2009-07.pdf
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Paper provided by University of Bergen, Department of Economics in its series Working Papers in Economics with number 09/07.

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Length: 27 pages
Date of creation: 03 Sep 2007
Date of revision:
Handle: RePEc:hhs:bergec:2007_009
Contact details of provider: Postal: Institutt for økonomi, Universitetet i Bergen, Postboks 7802, 5020 Bergen, Norway
Phone: (+47)55589200
Fax: (+47)55589210
Web page: http://www.uib.no/econ/enEmail:


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  1. Evstigneev, I.V. & Flam, S.D., 2000. "Stochastic Programming: Non-Anticipativity and Lagrange Multipliers," Norway; Department of Economics, University of Bergen 1100, Department of Economics, University of Bergen.
  2. Cass, David & Chichilnisky, Graciela & Wu, Ho-Mou, 1996. "Individual Risk and Mutual Insurance," Econometrica, Econometric Society, vol. 64(2), pages 333-41, March.
  3. Flam, Sjur & Owen, Guillermo & Saboya, Martha, 2005. "The not-quite non-atomic game: Non-emptiness of the core in large production games," Mathematical Social Sciences, Elsevier, vol. 50(3), pages 279-297, November.
  4. A. Y. Golubin, 2006. "Pareto-Optimal Insurance Policies in the Models with a Premium Based on the Actuarial Value," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(3), pages 469-487.
  5. Malinvaud, E, 1973. "Markets for an Exchange Economy with Individual Risks," Econometrica, Econometric Society, vol. 41(3), pages 383-410, May.
  6. Evstigneev, I.V. & Flam, S.D., 2000. "Sharing Nonconvex Costs," Norway; Department of Economics, University of Bergen 1300, Department of Economics, University of Bergen.
  7. Yannelis, Nicholas C, 1991. "The Core of an Economy with Differential Information," Economic Theory, Springer, vol. 1(2), pages 183-97, April.
  8. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
  9. Malinvaud, E., 1972. "The allocation of individual risks in large markets," Journal of Economic Theory, Elsevier, vol. 4(2), pages 312-328, April.
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