Optimal risk sharing with different reference probabilities

Beatrice Acciaio and Gregor Svindland

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, pages 426-433

Abstract: We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a theoretical point of view, and give sufficient conditions for the existence of Pareto optimal allocations in this framework. Our results are illustrated by several examples.

Keywords: IM51; IE12; Optimal; risk; sharing; Law-invariance; Convolution (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:3:p:426-433

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