کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076289 1477204 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cooperative investment in incomplete markets under financial fairness
ترجمه فارسی عنوان
سرمایه گذاری تعاونی در بازارهای ناقص تحت عدالت مالی
کلمات کلیدی
به اشتراک گذاری خطر، سرمایه گذاری تعاونی، بازارهای ناقص، عادلانه بودن مالی، سندیکاها،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Groups of agents, such as participants in a collective pension fund, can decide to undertake a joint investment and to define, ex ante, a rule for the division of proceeds. The collective investment decision and the allocation rule together form a risk sharing scheme. Such a scheme defines a contingent claim for each participant. Given a proposed risk sharing scheme and an agreed-upon pricing functional, the values of these claims can be determined and can be compared to the values of the contributions made by the agents. A risk sharing scheme is said to be financially fair if, for each agent, the value of the agent's claim as defined by the scheme is equal to the value of the agent's contribution. The paper provides conditions under which there exists a unique risk sharing scheme that is both Pareto efficient (in the sense of expected utility) and financially fair. Furthermore, an iterative algorithm is presented by which this scheme can be computed. The theory is illustrated by a simple example which shows that, in an incomplete financial market, agents may benefit substantially from forming a collective.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 71, November 2016, Pages 394-406
نویسندگان
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