Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities. (English) Zbl 1152.91035
Summary: Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the rank dependent expected utility (RDU) are fully characterized. Specific attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient. Closed-form solutions are obtained for several examples.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 91B16 | Utility theory |
References:
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