Segmented risk sharing in a continuous-time setting

Taub, B. and Chade, H. (2002) Segmented risk sharing in a continuous-time setting. Economic Theory, 20(4), pp. 645-675. (doi:10.1007/s001990100230)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Taub, Professor Bart
Authors: Taub, B., and Chade, H.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economic Theory
Publisher:Springer
ISSN:0938-2259
ISSN (Online):1432-0479

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