Linear versus nonlinear allocation rules in risk sharing under financial faimess

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<title>Linear versus nonlinear allocation rules in risk sharing under financial faimess</title>
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<abstract displayLabel="Summary">In a risk exchange, participants trade a privately owned risk for a share in a pool. If participants agree on a valuation rule, it can be decided whether or not, according to the given rule, these trades take place at equal value. If equality of values holds for all participants, then the exchange is said to be "financially fair". It has been shown by Buhlmann and Jewell (1979) that, undermild assumptions, the constraint of financial fairness singles out a unique solution among the set of all Pareto efficient risk exchanges. In this paper, we find that an analogous statement is true if we limit ourselves to linear exchanges.</abstract>
<note type="statement of responsibility">Johannes M. Schumacher</note>
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<topic>Cálculo actuarial</topic>
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<topic>Métodos estadísticos</topic>
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<topic>Riesgo financiero</topic>
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<topic>Modelos de estados financieros</topic>
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<topic>Gerencia de riesgos</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 995-1024</text>
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