Segmented risk sharing in a continuous-time setting

Bart Taub, Hector Chade

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)645-675
Number of pages31
JournalEconomic Theory
Volume20
Issue number4
DOIs
StatePublished - Dec 1 2002

Keywords

  • Continuous-time methods
  • Limited enforcement
  • Risk sharing

ASJC Scopus subject areas

  • Economics and Econometrics

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