Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities

Economic Theory - Tập 36 - Trang 189-223 - 2007
G. Carlier1, R. -A. Dana1
1CEREMADE, UMR CNRS 7534, Université Paris IX Dauphine, Pl. de Lattre de Tassigny, Paris Cedex 16, France

Tóm tắt

Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the rank dependent expected utility (RDU) are fully characterized. Specific attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient. Closed-form solutions are obtained for several examples.

Tài liệu tham khảo

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