Risk Exchange as a Market or Production Game

Anders Borglin () and Sjur Flåm
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Anders Borglin: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden, http://www.nek.lu.se/en/contact

No 2007:16, Working Papers from Lund University, Department of Economics

Abstract: Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the latter mirrors the two-fund separation in allocating to each agent some sure holding plus a fraction of the aggregate.

Keywords: securities; mutual insurance; market or production games; transferable utility; extremal convolution; core solutions; variance or risk aversion; two-fund separation; CAPM (search for similar items in EconPapers)
JEL-codes: C61 G11 G12 G13 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2007-10-08
New Economics Papers: this item is included in nep-gth, nep-ias and nep-upt
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Related works:
Working Paper: Risk exchange as a market or production game (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2007_016

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