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Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities

Dana, Rose-Anne; Carlier, Guillaume (2008), Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities, Economic Theory, 36, 2, p. 189-223. http://dx.doi.org/10.1007/s00199-007-0266-z

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Type
Article accepté pour publication ou publié
Date
2008
Nom de la revue
Economic Theory
Volume
36
Numéro
2
Éditeur
Springer
Pages
189-223
Identifiant publication
Métadonnées
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Auteur(s)
Dana, Rose-Anne
Carlier, Guillaume
Résumé (EN)
Efficient risk-sharing rules and equilibria between two agents withutilities in a class that contains the Rank Dependent Expected Util-ity (RDU) are fully characterized. Specific attention is given to theRDU. Call-spreads and contracts with mixed regimes are shown to beefficient. Closed-form solutions are obtained for several examples.
Mots-clés
Law Invariant Utilities
JEL
D8 - Information, Knowledge, and Uncertainty
C0 - General