Risk exchange as a market or production game

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

No 09/07, Working Papers in Economics from University of Bergen, 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: 2007-09-03
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Working Paper: Risk Exchange as a Market or Production Game (2007)
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