Multivariate risk sharing and the derivation of individually rational Pareto optima
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
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Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
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"Pareto efficiency for the concave order and multivariate comonotonicity,"
Journal of Economic Theory,
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