Multivariate risk sharing and the derivation of individually rational Pareto optima
Article dans une revue: 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.
Auteur(s)
Alain Chateauneuf, Mina Mostoufi, David Vyncke
Revue
- Mathematical Social Sciences
Date de publication
- 2015
Mots-clés JEL
Mots-clés
- Dominance
Pages
- 73-78
URL de la notice HAL
Version
- 1
Volume
- 74