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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- Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000.
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- repec:hal:journl:halshs-00451997 is not listed on IDEAS
- Galichon, Alfred & Dana, Rose-Anne & Carlier, Guillaume, 2012.
"Pareto efficiency for the concave order and multivariate comonotonicity,"
Economics Papers from University Paris Dauphine
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- Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
- Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
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