Multi-period risk sharing under financial fairness

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• 作者：Hailong Bao^a ; ^{bhl.zju@gmail.com} ; Eduard H.M. Ponds^b ; ^{eduard.ponds@apg-am.nl} ; Johannes M. Schumacher^c ; ^{j.m.schumacher@uva.nl}
• 关键词：Intertemporal risk sharing ; Pareto efficiency ; Financial fairness ; Contract design ; Collective pension funds
• 刊名：Insurance: Mathematics and Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：72
• 期：Complete
• 页码：49-66
• 全文大小：608 K
• 卷排序：72

文摘

We work with a multi-period system where a finite number of agents need to share multiple monetary risks. We look for the solutions that are both Pareto efficient utility-wise and financially fair value-wise. A buffer enables the inter-temporal capital transfer. Expected utility is used to evaluate the utility, and a risk-neutral measure is essential for determining the risk sharing rules. It can be shown that in the model setting there always exists a unique risk sharing rule that is both Pareto efficient and financially fair. An iterative algorithm is introduced to calculate this rule numerically.