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"Segmented Risk Sharing in a Continuous-Time Setting"

Bart Taub and Hector Chade

 

First Author :

Bart Taub
Economics
University of Illinois at Urbana-Champaign
1206 S. Sixth Street, M/C 706
Champaign, IL 61820
USA

b-taub@uiuc.edu

http://www.business.uiuc.edu/faculty/taub.html


Second Author :

Hector Chade
Economics
Arizona State University

hector.chade@asu.edu

 
 
Abstract :
 
In an economy with a continuum of individuals, each individual has a stochastic, continuously evolving endowment process. Individuals are risk-averse and would therefore like to insure their endowment processes. It is feasible to obtain insurance by pooling endowments across individuals because the processes are mutually independent. We characterize the payoff from an insurance contracting scheme of this type, and we investigate whether such a scheme would survive as an equilibrium in a noncooperative setting.
 
 
Manuscript Received : 2001
Manuscript Published : 2001
 
 
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