Arbeitspapier
Risk Exchange as a Market or Production Game
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2007:16
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
securities
mutual insurance
market or production games
transferable utility
extremal convolution
core solutions
variance or risk aversion
two-fund separation
CAPM
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Borglin, Anders
Flåm, Sjur
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Borglin, Anders
- Flåm, Sjur
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2007
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