Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/259948 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Working Paper No. 2007:16
Verlag: 
Lund University, School of Economics and Management, Department of Economics, Lund
Zusammenfassung: 
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.
Schlagwörter: 
securities
mutual insurance
market or production games
transferable utility
extremal convolution
core solutions
variance or risk aversion
two-fund separation
CAPM
JEL: 
C61
G11
G12
G13
Dokumentart: 
Working Paper

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