Multivariate risk sharing and the derivation of individually rational Pareto optima

Alain Chateauneuf, Mina Mostoufi and David Vyncke

Mathematical Social Sciences, 2015, vol. 74, issue C, 73-78

Abstract: Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all Individually Rational Pareto optima can be computed according to our method.

Date: 2015
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Related works:
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matsoc:v:74:y:2015:i:c:p:73-78

DOI: 10.1016/j.mathsocsci.2014.12.004

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