Abstract
Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the rank dependent expected utility (RDU) are fully characterized. Specific attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient. Closed-form solutions are obtained for several examples.
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Carlier, G., Dana, R.A. Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities. Economic Theory 36, 189–223 (2008). https://doi.org/10.1007/s00199-007-0266-z
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DOI: https://doi.org/10.1007/s00199-007-0266-z