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Multivariate risk sharing and the derivation of individually rational Pareto optima

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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, 2014. "Multivariate risk sharing and the derivation of individually rational Pareto optima," Documents de travail du Centre d'Economie de la Sorbonne 14003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Handle: RePEc:mse:cesdoc:14003
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    File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2014/14003.pdf
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    1. Carlier, G. & Dana, R.-A. & Galichon, A., 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Journal of Economic Theory, Elsevier, pages 207-229.
    2. repec:dau:papers:123456789/9713 is not listed on IDEAS
    3. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
    4. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
    5. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
    6. repec:dau:papers:123456789/5461 is not listed on IDEAS
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    1. repec:ipg:wpaper:2014-560 is not listed on IDEAS
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    3. repec:ipg:wpaper:2014-567 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-572 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-580 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-570 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-457 is not listed on IDEAS

    More about this item

    Keywords

    Multivariate risk sharing; comonotonicity; individually rational Pareto optima;

    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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