Optimal risk sharing with different reference probabilities

被引：13
|
作者：
Acciaio, Beatrice [1 ]
Svindland, Gregor [2 ]
机构：
[1] Vienna Univ Technol, A-1040 Vienna, Austria
[2] Univ Munich, Math Inst, D-80333 Munich, Germany
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 44卷 / 03期
关键词：
Optimal risk sharing; Law-invariance; Convolution; LAW-INVARIANT; COHERENT MEASURES; EQUILIBRIUM; ALLOCATION;
D O I：
10.1016/j.insmatheco.2008.12.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：426 / 433
页数：8
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