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

dc.contributor.author	Dana, Rose-Anne HAL ID: 12658
dc.contributor.author	Carlier, Guillaume
dc.date.accessioned	2009-10-27T15:00:50Z
dc.date.available	2009-10-27T15:00:50Z
dc.date.issued	2008
dc.identifier.issn	0938-2259
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/2348
dc.language.iso	en	en
dc.subject	Law Invariant Utilities
dc.subject.ddc	332	en
dc.subject.classificationjel	D8	en
dc.subject.classificationjel	C0	en
dc.title	Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities
dc.type	Article accepté pour publication ou publié
dc.description.abstracten	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.
dc.relation.isversionofjnlname	Economic Theory
dc.relation.isversionofjnlvol	36
dc.relation.isversionofjnlissue	2
dc.relation.isversionofjnldate	2008
dc.relation.isversionofjnlpages	189-223
dc.relation.isversionofdoi	http://dx.doi.org/10.1007/s00199-007-0266-z
dc.description.sponsorshipprivate	oui	en
dc.relation.isversionofjnlpublisher	Springer
dc.subject.ddclabel	Economie financière	en
dc.description.ssrncandidate	non
dc.description.halcandidate	oui
dc.description.readership	recherche
dc.description.audience	International
dc.relation.Isversionofjnlpeerreviewed	oui
dc.date.updated	2018-05-16T12:52:56Z

Related items