Fiche du document
- handle: 10670/1.q633mv
- hal: hal-01161662
- doi: 10.1016/j.mathsocsci.2014.12.004
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.mathsocsci.2014.12.004
Mots-clés
Dominance D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D80 - General G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G22 - Insurance • Insurance Companies • Actuarial Studies G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • GoodwillSujets proches
Insurers Insurance carriers Companies, Insurance Insurance agenciesCiter ce document
Alain Chateauneuf et al., « Multivariate risk sharing and the derivation of individually rational Pareto optima », Archive Ouverte d'INRAE, ID : 10.1016/j.mathsocsci.2014.12.004
Métriques
Partage / Export
Résumé
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.