Multivariate risk sharing and the derivation of individually rational Pareto optima

Alain Chateauneuf (1, 2, 3) , Mina Mostoufi (2, 3) , David Vyncke (4)

1 IPAG
2 CES - Centre d'économie de la Sorbonne
3 PSE - Paris School of Economics
4 Universiteit Gent

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.

Mots clés: Dominance

Domaines: Economies et finances

Alain Chateauneuf, Mina Mostoufi, David Vyncke. Multivariate risk sharing and the derivation of individually rational Pareto optima. Mathematical Social Sciences, 2015, 74, pp.73-78. ⟨10.1016/j.mathsocsci.2014.12.004⟩. ⟨hal-01161662⟩