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Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model"

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  • Ghossoub, Mario

Abstract

This paper is a supplement to Ghossoub [11]. In this supplement, some of the results of Ghossoub [11], as well as the techniques used to obtain these result are extended to a more general problem of demand for contingent claims with belief heterogeneity. Moreover, a general problem of monotone comparative statics under heterogeneous uncertainty is examined, and I show how the idea of vigilance can be used to obtain a monotone comparative statics result in this case.

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File URL: http://mpra.ub.uni-muenchen.de/37717/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37717.

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Date of creation: 10 Jun 2010
Date of revision: 22 Mar 2012
Handle: RePEc:pra:mprapa:37717

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Related research

Keywords: Subjective Probability; Heterogeneous Beliefs; Vigilance; Contingent Claims; Monotone Likelihood Ratio; Monotone Comparative Statics;

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References

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  1. Ghossoub, Mario, 2010. "Belief heterogeneity in the Arrow-Borch-Raviv insurance model," MPRA Paper 37630, University Library of Munich, Germany, revised 22 Mar 2012.
  2. Sanford J Grossman & Oliver D Hart, 2001. "An Analysis of the Principal-Agent Problem," Levine's Working Paper Archive 391749000000000339, David K. Levine.
  3. Williamson, Stephen D., 1986. "Costly monitoring, financial intermediation, and equilibrium credit rationing," Journal of Monetary Economics, Elsevier, vol. 18(2), pages 159-179, September.
  4. Rogerson, William P, 1985. "The First-Order Approach to Principal-Agent Problems," Econometrica, Econometric Society, vol. 53(6), pages 1357-67, November.
  5. Milgrom, Paul & Roberts, John, 1990. "The Economics of Modern Manufacturing: Technology, Strategy, and Organization," American Economic Review, American Economic Association, vol. 80(3), pages 511-28, June.
  6. Milgrom, Paul & Shannon, Chris, 1994. "Monotone Comparative Statics," Econometrica, Econometric Society, vol. 62(1), pages 157-80, January.
  7. Alain Chateauneuf & Fabio Maccheroni & Massimo Marinacci & Jean-Marc Tallon, 2005. "Monotone continuous multiple priors," Economic Theory, Springer, vol. 26(4), pages 973-982, November.
  8. Robert Townsend, 1979. "Optimal contracts and competitive markets with costly state verification," Staff Report 45, Federal Reserve Bank of Minneapolis.
  9. Mirrlees, J A, 1999. "The Theory of Moral Hazard and Unobservable Behaviour: Part I," Review of Economic Studies, Wiley Blackwell, vol. 66(1), pages 3-21, January.
  10. Susan Athey, 2002. "Monotone Comparative Statics Under Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 117(1), pages 187-223, February.
  11. Athey, Susan, 2002. "Monotone Comparative Statics Under Uncertainty," Scholarly Articles 3372263, Harvard University Department of Economics.
  12. Athey, S., 1996. "Characterizing Properties of Stochastic Objective Functions," Working papers 96-1, Massachusetts Institute of Technology (MIT), Department of Economics.
  13. Raviv, Artur, 1979. "The Design of an Optimal Insurance Policy," American Economic Review, American Economic Association, vol. 69(1), pages 84-96, March.
  14. Athey, S, 1996. "Comparative Statics under Uncertainty : Single Crossing Properties and Log-Supermodularity," Working papers 96-22, Massachusetts Institute of Technology (MIT), Department of Economics.
  15. Xavier Vives, 2001. "Oligopoly Pricing: Old Ideas and New Tools," MIT Press Books, The MIT Press, edition 1, volume 1, number 026272040x, December.
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Cited by:
  1. Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2013. "Optimal insurance purchase strategies via optimal multiple stopping times," Papers 1312.0424, arXiv.org.

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