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Pareto Optimal Risk Exchanges and a System of Differential Equations: a Duality Theorem

Published online by Cambridge University Press:  29 August 2014

Erich Wyler*
Affiliation:
ETH Zürich, Switzerland
*
Anna-Heer-Strasse 28, CH-8057 Zürich, Switzerland.
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Abstract

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This article, based on a result of Borch and an extension of Bühlmann, gives a complete characterization of Pareto optimal risk exchanges by a system of differential equations linking the derivate of agents contributions to their risk aversion coefficients.

Type
Articles
Copyright
Copyright © International Actuarial Association 1990

References

REFERENCES

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