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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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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