Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/76108 
Year of Publication: 
2002
Series/Report no.: 
CESifo Working Paper No. 672
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
Exchange of risks is considered here as a transferable-utility cooperative game. When the concerned agents are risk averse, there is a core imputation given by means of shadow prices on state-dependent claims. Like in finance, a risk can hardly be evaluated merely by its inherent statistical properties (in isolation from other risks). Rather, evaluation depends on the pooled risk and the convolution of individual preferences. Explored below are relations to finance with some emphasis on incompleteness. Included is a process of bilateral trade which converges to a price-supported core allocation.
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.