Segmented risk sharing in a continuous-time setting

Bart Taub; Hector Chade

doi:10.1007/s001990100230

Segmented risk sharing in a continuous-time setting

Bart Taub, Hector Chade

Economics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

The economy we study is comprised of a continuum of individuals. Each has a stochastic endowment that evolves continuously and independently of all other individuals' endowment processes. Individuals are risk averse and would therefore like to insure their endowment processes. The mutual independence of their endowment processes makes it feasible for them to obtain this insurance by pooling their endowments. We investigate whether such a scheme would survive as an equilibrium in a noncooperative setting.

Original language	English (US)
Pages (from-to)	645-675
Number of pages	31
Journal	Economic Theory
Volume	20
Issue number	4
DOIs	https://doi.org/10.1007/s001990100230
State	Published - Dec 1 2002

Keywords

Continuous-time methods
Limited enforcement
Risk sharing

ASJC Scopus subject areas

Economics and Econometrics

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10.1007/s001990100230

Cite this

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AB - The economy we study is comprised of a continuum of individuals. Each has a stochastic endowment that evolves continuously and independently of all other individuals' endowment processes. Individuals are risk averse and would therefore like to insure their endowment processes. The mutual independence of their endowment processes makes it feasible for them to obtain this insurance by pooling their endowments. We investigate whether such a scheme would survive as an equilibrium in a noncooperative setting.

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Segmented risk sharing in a continuous-time setting

Abstract

Keywords

ASJC Scopus subject areas

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