Title of article
Optimal risk sharing with different reference probabilities
Author/Authors
Acciaio، نويسنده , , Beatrice and Svindland، نويسنده , , Gregor، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
8
From page
426
To page
433
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.
Keywords
Optimal risk sharing , IE12 , convolution , IM51 , Law-invariance
Journal title
Insurance Mathematics and Economics
Serial Year
2009
Journal title
Insurance Mathematics and Economics
Record number
1543765
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