| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 972555 | Mathematical Social Sciences | 2015 | 6 Pages |
Abstract
•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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Alain Chateauneuf, Mina Mostoufi, David Vyncke,