Risk Exchange as a Market or Production Game

Borglin A & Flam SD (2007). Risk Exchange as a Market or Production Game. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-07-033

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Abstract

Risk exchange is considered here as a cooperative game with transferable utility. The setup fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the latter mirrors the two-fund separation in allocating to each agent some sure holding plus a fraction of the aggregate.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Integrated Modeling Environment (IME)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:40
Last Modified: 07 Nov 2016 13:34
URI: http://pure.iiasa.ac.at/8424

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