General Pareto Optimal Allocations and Applications to Multi-Period Risks1

Pauline Barrieu and Giacomo Scandolo

ASTIN Bulletin, 2008, vol. 38, issue 1, 105-136

Abstract: In this paper, we consider the problem of Pareto optimal allocation in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent to a modified sup-convolution of the different agents’ preference functionals. The results are then applied to a multi-period setting and some further characterization of Pareto optimality for an allocation is obtained for expected utility for processes.

Date: 2008
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