Multivariate risk sharing and the derivation of individually rational Pareto optima |
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| Affiliation: | 1. IPAG Business School, France;2. PSE-Université de Paris I, France;3. Université de Paris I, France;4. Paris School of Economics, France;5. Ghent University, Belgium;1. Renewable Materials Program, Department of Forest, Rangeland and Fire Sciences, University of Idaho, Moscow, ID 83844-1132, United States;2. Department of Civil Engineering, University of Idaho, Moscow, ID 83844-1022, United States;1. Division of Engineering, Saint Mary''s University, Halifax, NS, B3H 3C3, Canada;2. Department of Electrical Engineering, Royal Military College, Kingston, ON, K7K 7B4, Canada;3. Department of Electrical Engineering, University of Nevada, Reno, USA |
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| Abstract: | 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. |
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