A numerical approach for a class of risk-sharing problems

G. Carlier and A. Lachapelle

Journal of Mathematical Economics, 2011, vol. 47, issue 1, 1-13

Abstract: Abstract This paper deals with risk-sharing problems between many agents, each of whom having a strictly concave law invariant utility. In the special case where every agent's utility is given by a concave integral functional of the quantile of her individual endowment, we fully characterize the optimal risk-sharing rules. When there are many agents, these rules cannot be computed analytically. We therefore give a simple convergent algorithm and illustrate it on several examples.

Keywords: Risk-sharing; Comonotonicity; Sup-convolution; Calculus; of; variations; Numerical; approximation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:47:y:2011:i:1:p:1-13

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