We would like to acknowledge comments from the participants of 2007 ARIA annual meeting in Quebec, 2007 EGRIE
conference in Koln, and SCOR-JRI conference in Paris, in particular from David Cummins, Georges Dionne, Denis Kessler, Richard Phillips, Michael Powers, and Larry Tzeng.
the 2006 Annual Meeting of APRIA (Tokyo), the 2006 EGRIE
Seminar (Barcelona), the Operations Research 2006 Conference (Karlsruhe), and the 2006 Annual Meeting of the German Finance Association (Oestrich-Winkel).
I thank two anonymous referees and the editor, Rob Bentley, John Major, David Moss, Ryan Ogaard, Gary Venter, and especially Paul Embrechts and other participants of the EGRIE
seminar for their comments and suggestions.
The author thanks participants at the 27th EGRIE
seminar, at seminars at the University of Chicago and the MIT Sloan School of Management, and in particular, Jean-Luc Besson, Bruno Biais, Pierre-Andre Chiappori, Georges Dionne, Rick Green, Pierre-Francois Koehl, Pierre Picard, Jean-Charles Rochet, Jean Tirole, and an anonymous referee for very helpful comments.