Risk Exchange as a Market or Production Game

Type/nr A24/07
Skrevet av Anders Borglin and Sjur D. Flåm
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.
Språk Skrevet på engelsk