Risk exchange as a market or production game
Working paper
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http://hdl.handle.net/11250/166138Utgivelsesdato
2007-09Metadata
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- Working papers (SNF) [809]
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Risk exchange is considered here as a cooperative game with transferable utility. The set-up 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.
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Working paper2007:24