کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101378 1479248 2017 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
ترجمه فارسی عنوان
الگوریتم تکرار کامپوزیت برای یافتن قوانین به اشتراک گذاری ریسک کارآمد و مالی منصفانه است
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی
We consider the problem of finding an efficient and fair ex-ante rule for division of an uncertain monetary outcome among a finite number of von Neumann-Morgenstern agents. Efficiency is understood here, as usual, in the sense of Pareto efficiency subject to the feasibility constraint. Fairness is defined as financial fairness with respect to a predetermined pricing functional. We show that efficient and financially fair allocation rules are in one-to-one correspondence with positive eigenvectors of a nonlinear homogeneous and monotone mapping associated to the risk sharing problem. We establish relevant properties of this mapping. On the basis of this, we obtain a proof of existence and uniqueness of solutions via nonlinear Perron-Frobenius theory, as well as a proof of global convergence of the natural iterative algorithm. We argue that this algorithm is computationally attractive, and discuss its rate of convergence.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 72, October 2017, Pages 122-133
نویسندگان
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