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.
|Date of creation:||03 Sep 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Institutt for økonomi, Universitetet i Bergen, Postboks 7802, 5020 Bergen, Norway|
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- Borch, Karl, 1960. "Reciprocal Reinsurance Treaties," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 1(04), pages 170-191, December.
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- Lienhard, Markus, 1986. "Calculation of Price Equilibria for Utility Functions of the HARA Class," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 16(S1), pages S91-S97, April.
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- Malinvaud, E, 1973. "Markets for an Exchange Economy with Individual Risks," Econometrica, Econometric Society, vol. 41(3), pages 383-410, May.
- Yannelis, Nicholas C, 1991. "The Core of an Economy with Differential Information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(2), pages 183-97, April.
- 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.
- Baton, Bernard & Lemaire, Jean, 1981. "The Core of a Reinsurance Market," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 12(01), pages 57-71, June.
- 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.
- Lemaire, Jean, 1979. "A Non Symmetrical Value for Games without Transferable Utilities; Application to Reinsurance," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 10(02), pages 195-214, March.
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