Optimal Risk Sharing with Different Reference Probabilities

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.


Published in:
Insurance: Mathematics and Economics, 44, 426-433
Year:
2009
Publisher:
Elsevier
ISSN:
0167-6687
Keywords:
Laboratories:




 Record created 2010-04-24, last modified 2018-03-17

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