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Borglin, A. & Flam, S.D. (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: | 27 Aug 2021 17:20 |
| URI: | https://pure.iiasa.ac.at/8424 |
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