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Optimal risk sharing with background risk

Scarsini, Marco; Dana, Rose-Anne (2005), Optimal risk sharing with background risk, Journal of Economic Theory, 133, 1, p. 152-176. http://dx.doi.org/10.1016/j.jet.2005.10.002

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Type
Article accepté pour publication ou publié
Date
2005
Journal name
Journal of Economic Theory
Volume
133
Number
1
Publisher
Elsevier
Pages
152-176
Publication identifier
http://dx.doi.org/10.1016/j.jet.2005.10.002
Metadata
Show full item record
Author(s)
Scarsini, Marco
Dana, Rose-Anne
Abstract (EN)
This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different qualitative properties of the efficient contracts. The new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers.
Subjects / Keywords
Efficient contracts; Stochastically increasing; Incomplete markets; Insurance
JEL
D52 - Incomplete Markets
G22 - Insurance; Insurance Companies; Actuarial Studies

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