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research article

Optimal Risk Sharing with Different Reference Probabilities

Svindland, Gregor
•
Acciaio, Beatrice
2009
Insurance: Mathematics and Economics

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.

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