English, Article edition: Optimal risk sharing with different reference probabilities Acciaio, Beatrice; Svindland, Gregor

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Bookmark: http://trove.nla.gov.au/version/10946
Physical Description
  • article
Language
  • English

Edition details

Title
  • Optimal risk sharing with different reference probabilities
Author
  • Acciaio, Beatrice
  • Svindland, Gregor
Physical Description
  • article
Notes
  • 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.
  • IM51 IE12 Optimal risk sharing Law-invariance Convolution
  • RePEc:eee:insuma:v:44:y:2009:i:3:p:426-433
Language
  • English
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