A numerical approach for a class of risk-sharing problems
Carlier, Guillaume; Lachapelle, Aimé (2011), A numerical approach for a class of risk-sharing problems, Journal of Mathematical Economics, 47, 1, p. 1-13. http://dx.doi.org/10.1016/j.jmateco.2010.10.004
TypeArticle accepté pour publication ou publié
External document linkhttp://hal.archives-ouvertes.fr/hal-00448373/fr/
Journal nameJournal of Mathematical Economics
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Abstract (EN)This paper deals with risk-sharing problems between many agents, each of whom having a strictly concave law invariant utility. In the special case where every agent's utility is given by a concave integral functional of the quantile of her individual endowment, we fully characterize the optimal risk-sharing rules. When there are many agents, these rules cannot be computed analytically. We therefore give a simple convergent algorithm and illustrate it on several examples.
Subjects / Keywordssup-convolution; comonotonicity; risk-sharing; numerical approximation; calculus of variations
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