Optimal risk sharing with background risk

Dana, Rose-Anne and Scarsini, Marco (2005) Optimal risk sharing with background risk. [Working Paper]. p. 30. Open Access publications from Université Paris-Dauphine (No. 123456789/698).

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Abstract/Index

This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk averse expected utility maximizers, the concept of "stochastic increasingness" is used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to dierent qualitative properties of the efficient contracts. The new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers.


Item Type:Report / Paper (Working Paper)
Research documents and activity classification:Working Papers > Refereed Working Papers / of international relevance
Divisions:Department of Business and Management
Additional Information:The definitive version of the paper has been published in "Journal of Economic Theory", Vol. 133(1), Pages 152-176, March 2007.
Uncontrolled Keywords:Insurance; Efficient contracts; Incomplete markets; Stochastically increasing.
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-S/01 Statistics
Deposited By:Maria Teresa Nistico
Deposited On:21 Dec 2010 11:17
Last Modified:21 Dec 2010 11:18

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