Optimal risk sharing with different reference probabilities

Beatrice Acciaio and Gregor Svindland

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a theoretical point of view, and give sufficient conditions for the existence of Pareto optimal allocations in this framework. Our results are illustrated by several examples.

Keywords: optimal risk sharing; law-invariance; convolution (search for similar items in EconPapers)
JEL-codes: D81 G22 (search for similar items in EconPapers)
Date: 2009-06
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Citations: View citations in EconPapers (12)

Published in Insurance: Mathematics and Economics, June, 2009, 44(3), pp. 426-433. ISSN: 0167-6687

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