Rearrangement inequalities in non-convex insurance models

Carlier, Guillaume; Dana, Rose-Anne

Carlier, Guillaume; Dana, Rose-Anne (2005), Rearrangement inequalities in non-convex insurance models, Journal of Mathematical Economics, 41, 4-5, p. 483-503. http://dx.doi.org/10.1016/j.jmateco.2004.12.004

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Type

Article accepté pour publication ou publié

Date

2005

Journal name

Journal of Mathematical Economics

Volume

Number

4-5

Publisher

Elsevier

Pages

483-503

Abstract (EN)

This paper provides an existence theorem for a class of infinite-dimensional non-convex problems arising in symmetric and asymmetric information models. Sufficient conditions for monotonicity of solutions are also given. The proofs are very simple and rely on rearrangement techniques and the concept of supermodularity. Several applications to insurance are given.

Subjects / Keywords

Rearrangement inequalities; Supermodularity; Spence–Mirrlees condition; Risk sharing problems

JEL

G22 - Insurance; Insurance Companies; Actuarial Studies
D82 - Asymmetric and Private Information; Mechanism Design
D81 - Criteria for Decision-Making under Risk and Uncertainty
C61 - Optimization Techniques; Programming Models; Dynamic Analysis