Multivariate risk sharing and the derivation of individually rational Pareto optima

• In case of strong risk aversion, a simple computable method for deriving all Pareto optima is developed.
• The main novelty provided by this work is to offer a complete characterization of Pareto optima.
• The method is based on the properties of polytope structure of the Pareto optimal allocations.
• More importantly this strategy allows to easily describe the entire set of individually rational Pareto optima.

Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all Individually Rational Pareto optima can be computed according to our method.