This paper uses consumption data to compute yet unexploited welfare ga
ins that can be achieved through risksharing among twenty OECD countri
es. There is both aggregate national consumption risk and nondiversifi
able individual-specific risk. Countries engage in an optimal riskshar
ing arrangement to pool risk associated with the aggregate consumption
endowment streams. Welfare gains are associated with reduced consumpt
ion variability and with the international pricing of the consumption
streams of individual countries. The paper considers the standard VNM
time-additive preferences, as well as nonexpected utility and habit fo
rmation preferences. Large unexploited gains are found under all sets
of preferences, leading to an 'international risksharing puzzle'.