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
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کلمات کلیدی
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
Journal: Journal of Mathematical Economics - Volume 72, October 2017, Pages 122-133
نویسندگان
Jaroslav Pazdera, Johannes M. Schumacher, Bas J.M. Werker,