Multivariate risk sharing and the derivation of individually rational Pareto optima

Alain Chateauneuf, Mina Mostoufi and David Vyncke ()
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David Vyncke: Universiteit Gent - Vakgroep Toegepaste Wiskunde en Informatica

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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.

Keywords: Multivariate risk sharing; comonotonicity; individually rational Pareto optima; Partage de risque multivarié; comonotonicité; optimum de Pareto individuellement rationnel (search for similar items in EconPapers)
Date: 2014-01
New Economics Papers: this item is included in nep-cmp, nep-ias and nep-rmg
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00942114v1
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Citations: View citations in EconPapers (7)

Published in 2014

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Related works:
Journal Article: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
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