Publication

Optimal Risk Sharing with Different Reference Probabilities

Gregor Svindland
2009
Journal Articles

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.

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https://infoscience.epfl.ch/entities/publication/443c8524-294b-49cf-b421-276dd2d1fee2

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Gregor Svindland
2009
Journal Articles

Abstract

Official source

https://infoscience.epfl.ch/entities/publication/443c8524-294b-49cf-b421-276dd2d1fee2

About this result

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