×
Barrieu, Pauline; Scandolo, Giacomo

General Pareto optimal allocations and applications to multi-period risks. (English) Zbl 1169.91382

Astin Bull. 38, No. 1, 105-136 (2008).
Summary: In this paper, we consider the problem of Pareto optimal allocation in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent to a modified sup-convolution of the different agents’ preference functionals. The results are then applied to a multi-period setting and some further characterization of Pareto optimality for an allocation is obtained for expected utility for processes.

Cited in 12 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)
90C46 Optimality conditions and duality in mathematical programming

Keywords:

Pareto optimality; contract design; preference functional; multi-period risks
Cite Review PDF
Full Text: DOI

References:

[1] DOI: 10.2307/1913778 · Zbl 0683.90012 · doi:10.2307/1913778
[2] DOI: 10.1017/S0515036100006310 · doi:10.1017/S0515036100006310
[3] DOI: 10.1017/S0515036100009557 · doi:10.1017/S0515036100009557
[4] Skandinavisk Aktuarietidsskrift pp 29– (1960)
[5] Skandinavisk Aktuarietidsskrift 43 pp 163– (1960)
[6] DOI: 10.2143/AST.20.1.2005481 · doi:10.2143/AST.20.1.2005481
[7] Volume on Indifference Pricing (2006)
[8] DOI: 10.2307/1909607 · doi:10.2307/1909607
[9] DOI: 10.1007/s00780-005-0152-0 · Zbl 1088.60037 · doi:10.1007/s00780-005-0152-0
[10] Part III of draft PhD thesis (2007)
[11] Infinite dimensional analysis (1999)
[12] DOI: 10.2307/2296736 · Zbl 0261.90007 · doi:10.2307/2296736
[13] DOI: 10.1007/s00780-007-0036-6 · Zbl 1143.91024 · doi:10.1007/s00780-007-0036-6
[14] DOI: 10.1111/j.1467-8586.1985.tb00185.x · doi:10.1111/j.1467-8586.1985.tb00185.x
[15] Scandinavian Actuarial Journal 2 pp 73– (2002)
[16] DOI: 10.1111/j.1467-8586.1985.tb00179.x · doi:10.1111/j.1467-8586.1985.tb00179.x
[17] American Economic Review 69 pp 84– (1979)
[18] DOI: 10.1093/rfs/10.1.151 · doi:10.1093/rfs/10.1.151
[19] DOI: 10.1016/0304-405X(86)90005-X · doi:10.1016/0304-405X(86)90005-X
[20] Skandinavisk Aktuarietidsskrift 51 pp 165– (1968)
[21] Dynamic Asset Pricing Theory (1996)
[22] Financial markets in continuous time, valuation and equilibrium (2002)
[23] DOI: 10.1006/jeth.2000.2773 · Zbl 1127.91367 · doi:10.1006/jeth.2000.2773
[24] DOI: 10.1017/S0515036100005882 · doi:10.1017/S0515036100005882
[25] DOI: 10.1017/S0515036100004773 · doi:10.1017/S0515036100004773
[26] DOI: 10.1017/S0515036100006619 · doi:10.1017/S0515036100006619
[27] Mathematical methods in risk theory (1970) · Zbl 0209.23302
[28] Contributions to Mathematical Economics pp 317– (1986)
[29] The theory of general economic equilibrium – a differentiable approach (1985)
[30] DOI: 10.2307/1913656 · Zbl 0382.90006 · doi:10.2307/1913656
[31] DOI: 10.1111/j.1467-9965.2007.00332.x · Zbl 1133.91360 · doi:10.1111/j.1467-9965.2007.00332.x
[32] Econometrica 53 pp 1451– (1986)
[33] ASTIN Bulletin 35 pp 363– (2005) · Zbl 1155.91402 · doi:10.2143/AST.35.2.2003458
[34] DOI: 10.2307/1909887 · Zbl 0119.36504 · doi:10.2307/1909887
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.