Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259948 
Year of Publication: 
2007
Series/Report no.: 
Working Paper No. 2007:16
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
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.
Subjects: 
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
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.