Pareto Optimal Risk Exchanges and a System of Differential Equations: a Duality Theorem

Erich Wyler

ASTIN Bulletin, 1990, vol. 20, issue 1, 23-31

Abstract: This article, based on a result of Borch and an extension of Bühlmann, gives a complete characterization of Pareto optimal risk exchanges by a system of differential equations linking the derivate of agents contributions to their risk aversion coefficients.

Date: 1990
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