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Document Details : Title: Pareto Optimal Risk Exchanges and a System of Differential Equations Subtitle: A Duality Theorem Author(s): WYLER, Erich Journal: ASTIN Bulletin Volume: 20 Issue: 1 Date: April 1990 Pages: 23-31 DOI: 10.2143/AST.20.1.2005481 Abstract : 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. |
