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:||08 Oct 2007|
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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.
- 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.
- 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.
- Cass, David & Chichilnisky, Graciela & Wu, Ho-Mou, 1996. "Individual Risk and Mutual Insurance," Econometrica, Econometric Society, vol. 64(2), pages 333-41, March.
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