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Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility

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Author Info

  • Chateauneuf, A.
  • Dana, R.-A,
  • Tallon, J.-M.

Abstract

This paper explores the consequences of non-additive expected utility on risk-sharing and equilibrium in a general equilibrium set-up. We establish that convexity of an agent's preferences (or strong uncertainty aversion) is equivalent to the convexity of his capacity and concavity of his utility index. We also characterize a weaker form of uncertainty aversion.

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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 97.54.

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Length: 33 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:pariem:97.54

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Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/
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Related research

Keywords: RISK ; UTILITY FUNCTION ; MODELS;

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Cited by:
  1. Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer, vol. 41(2), pages 231-246, November.
  2. Eisei Ohtaki & Hiroyuki Ozaki, 2013. "Monetary Equilibria and Knightian Uncertainty," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-032, Keio/Kyoto Joint Global COE Program.
  3. Wen-Fang Liu, 1998. "Heterogeneous Agent Economies with Knightian Uncertainty," Discussion Papers in Economics at the University of Washington 0053, Department of Economics at the University of Washington.

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