Multi-period risk sharing under financial fairness
Bao,Hailong Ponds,Eduard Schumacher,Hans
Bao,Hailong
Ponds,Eduard
Schumacher,Hans
Abstract
We work with a multi-period system where a finite number of agents need to share multiple monetary risks. We look for the solutions that are both Pareto efficient utility-wise and financially fair value-wise. A buffer enables the inter-temporal capital transfer. Expected utility is used to evaluate the utility, and a risk-neutral measure is essential for determining the risk sharing rules. It can be shown that in the model setting there always exists a unique risk sharing rule that is both Pareto efficient and financially fair. An iterative algorithm is introduced to calculate this rule numerically.
Description
Date
2017-01
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
Organizational Units
Journal Issue
Keywords
intertemporal risk sharing, Pareto efficiency, financial fairness, contract design, collective pension funds
Citation
Bao, H, Ponds, E & Schumacher, H 2017, 'Multi-period risk sharing under financial fairness', Insurance Mathematics & Economics, vol. 72, pp. 49-66. https://doi.org/10.1016/j.insmatheco.2016.10.015
License
info:eu-repo/semantics/closedAccess