Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility
AbstractThis 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 InfoPaper provided by UniversitÃ© PanthÃ©on-Sorbonne (Paris 1) in its series Papiers d'Economie MathÃ©matique et Applications with number 97.54.
Length: 33 pages
Date of creation: 1997
Date of revision:
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RISK ; UTILITY FUNCTION ; MODELS;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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- Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer, vol. 41(2), pages 231-246, November.
- 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.
- 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.
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