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General Pareto Optimal Allocations and Applications to Multi-Period Risks1

Published online by Cambridge University Press:  17 April 2015

Pauline Barrieu  and
Giacomo Scandolo
Pauline Barrieu
Affiliation:
Department of Statistics, London School of Economics, Houghton Street, WC2A 2AE London, United Kingdom, E-mail: p.m.barrieu@lse.ac.uk
Giacomo Scandolo
Affiliation:
Department of Mathematics for Economics, University of Florence, via Lombroso 6/17, 50134 Florence, Italy, E-mail: giacomo.scandolo@unifi.it
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Abstract

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In this paper, we consider the problem of Pareto optimal allocation in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent to a modified sup-convolution of the different agents’ preference functionals. The results are then applied to a multi-period setting and some further characterization of Pareto optimality for an allocation is obtained for expected utility for processes.

Keywords

Pareto optimalitycontract designpreference functionalmulti-period risks
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 1 , May 2008 , pp. 105 - 136
Copyright
Copyright © ASTIN Bulletin 2008

Footnotes

2

Financial support by European Science Foundation under grant AMAMEF-963 is gratefully acknowledged.

1

Both authors would like to thank Ragnar Norberg for his very helpful comments and careful reading of previous versions of this work and two anonymous referees for their valuable comments and suggestions. Participants of the 31st SPA conference, Berlin Workshop on Climate Risk Securitization, ICMS Workshop on Credit Risk, XXX Amases conference, seminars at Cass Business School, ETH, Bocconi University, Louvain Workshop on New Actuarial Topics in Longevity and Transfer of Risks, Banff Workshop on Mathematics and the Environment, Sixth Scientific Conference on Insurance and Finance – DGVFM and Workshops on Quantitative Finance in Sydney, Venice and St Gallen are also thanked for stimulating discussions, and in particular, Knut Aase, Laura Ballotta, Marco Frittelli, Hans Foellmer, Dilip Madan, Marek Musiela, Fulvio Ortu and Fabio Trojani for their interesting suggestions.

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