Multivariate risk sharing and the derivation of individually rational Pareto optima

Journal article: Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all Individually Rational Pareto optima can be computed according to our method.

Author(s)

Alain Chateauneuf, Mina Mostoufi, David Vyncke

Journal
  • Mathematical Social Sciences
Date of publication
  • 2015
Keywords JEL
D80 G22 G32
Keywords
  • Dominance
Pages
  • 73-78
Version
  • 1
Volume
  • 74