• 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