Optimal risk sharing with different reference probabilities

Acciaio, Beatrice and Svindland, Gregor (2009) Optimal risk sharing with different reference probabilities. Insurance: Mathematics and Economics, 44 (3). pp. 426-433. ISSN 0167-6687

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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.

Item Type:	Article
Official URL:	http://www.journals.elsevier.com/insurance-mathema...
Additional Information:	© 2009 Elsevier B.V.
Divisions:	Statistics
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
JEL classification:	D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance; Insurance Companies
Date Deposited:	08 May 2013 15:46
Last Modified:	05 Jan 2024 06:54
URI:	http://eprints.lse.ac.uk/id/eprint/50119

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