Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities

Dana, Rose-Anne; Carlier, Guillaume

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 publié

Date

2008

Journal name

Economic Theory

Volume

Number

Publisher

Springer

Pages

189-223

Abstract (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 Utilities

JEL

D8 - Information, Knowledge, and Uncertainty
C0 - General