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
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 |
|---|---|
| Copyright holders | © 2009 Elsevier B.V. |
| Keywords | optimal risk sharing, law-invariance, convolution |
| Departments | Statistics |
| DOI | 10.1016/j.insmatheco.2008.12.002 |
| Date Deposited | 08 May 2013 15:46 |
| URI | https://researchonline.lse.ac.uk/id/eprint/50119 |
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