Cooperative investment in incomplete markets under financial fairness

DOI10.1016/j.insmatheco.2016.10.008zbMath1371.91163OpenAlexW3122642228MaRDI QIDQ2374132

Bas J. M. Werker, Jaroslav Pazdera, Johannes M. Schumacher

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.008

zbMATH Keywords

incomplete marketsrisk sharingfinancial fairnesscooperative investmentsyndicates

Mathematics Subject Classification ID

Related Items (6)

Utilitarian versus neutralitarian design of endowment fund policies ⋮ The composite iteration algorithm for finding efficient and financially fair risk-sharing rules ⋮ Optimal multivariate financial decision making ⋮ Actuarial fairness and social welfare in mixed-cohort tontines ⋮ Optimal collective investment: an analysis of individual welfare ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules

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• General Pareto Optimal Allocations and Applications to Multi-Period Risks
• The Theory of Syndicates and Linear Sharing Rules
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
• Equilibrium in a Reinsurance Market

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