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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.