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Multivariate risk sharing and the derivation of individually rational Pareto optima

Alain Chateauneuf (), Mina Mostoufi and David Vyncke ()
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David Vyncke: Universiteit Gent - Vakgroep Toegepaste Wiskunde en Informatica

PSE - Labex "OSE-Ouvrir la Science Economique" from HAL

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.

Keywords: Dominance (search for similar items in EconPapers)
Date: 2015-03
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01161662
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Published in Mathematical Social Sciences, Elsevier, 2015, 74, pp.73-78. ⟨10.1016/j.mathsocsci.2014.12.004⟩

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Journal Article: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015) Downloads
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Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014) Downloads
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseose:hal-01161662

DOI: 10.1016/j.mathsocsci.2014.12.004

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