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Multivariate risk sharing and the derivation of individually rational Pareto optima

Alain Chateauneuf (), Mina Mostoufi and David Vyncke ()
Additional contact information
David Vyncke: Ghent University, http://www.ugent.be/

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Multivariate risk sharing; comonotonicity; individually rational Pareto optima (search for similar items in EconPapers)
JEL-codes: D81 D70 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2014-01
New Economics Papers: this item is included in nep-ias
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Citations: View citations in EconPapers (5) Track citations by RSS feed

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ftp://mse.univ-paris1.fr/pub/mse/CES2014/14003.pdf (application/pdf)

Related works:
Journal Article: Multivariate risk sharing and the derivation of individually rational Pareto optima (2015) Downloads
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) Downloads
Working Paper: Multivariate risk sharing and the derivation of individually rational Pareto optima (2014) Downloads
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