
Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities
Dana, Rose-Anne; Carlier, Guillaume (2008), Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities, Economic Theory, 36, 2, p. 189-223. http://dx.doi.org/10.1007/s00199-007-0266-z
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Type
Article accepté pour publication ou publiéDate
2008Journal name
Economic TheoryVolume
36Number
2Publisher
Springer
Pages
189-223
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Show full item recordAbstract (EN)
Efficient risk-sharing rules and equilibria between two agents withutilities in a class that contains the Rank Dependent Expected Util-ity (RDU) are fully characterized. Specific attention is given to theRDU. Call-spreads and contracts with mixed regimes are shown to beefficient. Closed-form solutions are obtained for several examples.Subjects / Keywords
Law Invariant UtilitiesRelated items
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