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dc.contributor.authorScarsini, Marco
dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
dc.date.accessioned2009-07-02T17:09:13Z
dc.date.available2009-07-02T17:09:13Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/698
dc.descriptionLe fichier attaché est une version éditée dans les Cahiers de la Chaire "Les Particuliers face aux Risques" de l'Institut de Finance de Dauphine, cahier n° 4, décembre 2006
dc.language.isoenen
dc.subjectEfficient contractsen
dc.subjectStochastically increasing
dc.subjectIncomplete markets
dc.subjectInsurance
dc.subject.ddc519en
dc.subject.classificationjelD52en
dc.subject.classificationjelG22
dc.titleOptimal risk sharing with background risken
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherGroupe HEC - CNRS;France
dc.contributor.editoruniversityotherUniversité de Turin;Italie
dc.description.abstractenThis 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.
dc.relation.isversionofjnlnameJournal of Economic Theory
dc.relation.isversionofjnlvol133en
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2005-11
dc.relation.isversionofjnlpages152-176en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jet.2005.10.002en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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