Abstract
This article, based on a result of Borch and an extension of Bohlmann, gives a complete characterization of Pareto optimal risk exchanges by a system of differential equations linking the derivate of agents contributions to their risk aversion coefficients. Keywords: Pareto optimal risk exchange; Bernoulli utility function, absolute risk aversion, system of differential equations.
Volume
20:1
Page
23-32
Year
1990
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
