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.
|Date of creation:||Jan 2014|
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- Guillaume Carlier & Rose-Anna Dana & Alfred Galichon, 2012.
"Pareto efficiency for the concave order and multivariate comonotonicity,"
Sciences Po publications
info:hdl:2441/5rkqqmvrn4t, Sciences Po.
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- Guillaume Carlier & Rose-Anna Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Post-Print hal-01053549, HAL.
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- Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2000.
"Optimal risk-sharing rules and equilibria with Choquet-expected-utility,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- 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.
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- Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
- Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
- repec:dau:papers:123456789/5461 is not listed on IDEAS
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