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Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre

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  • Jean-Marc Tallon

Abstract

This paper studies the properties of a general equilibrium model with purely microeconomic risk, in which agents behave according to Choquet expected utility (i.e., they maximize a non-additive expected utility). This formalization represents a behavior exhibiting uncertainty aversion or pessimism. Under the assumption that there is a minimal consensus in the economy, it is shown that agents are fully insured at an equilibrium, that the equilibrium allocation is indeterminate, and that the size of the equilibrium set increases with the degree of uncertainty aversion.

Suggested Citation

  • Jean-Marc Tallon, 1997. "Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre," Annals of Economics and Statistics, GENES, issue 48, pages 211-226.
  • Handle: RePEc:adr:anecst:y:1997:i:48:p:211-226
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    Cited by:

    1. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ?
      [The new models of decision under risk or uncertainty : What approach?]
      ," MPRA Paper 25442, University Library of Munich, Germany.
    2. Trabelsi, Mohamed Ali, 2006. "Les Nouveaux Modèles de Décision dans le Risque et l’Incertain : Quel Apport ?
      [The New Models of Decision Under Risk or Uncertainty : What Approach?]
      ," MPRA Paper 76954, University Library of Munich, Germany.
    3. Trabelsi, Mohamed Ali, 2008. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ?
      [The new models of decision under risk or uncertainty: What approach?]
      ," MPRA Paper 83347, University Library of Munich, Germany, revised 2008.
    4. repec:dau:papers:123456789/5461 is not listed on IDEAS
    5. Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," Review of Economic Studies, Oxford University Press, vol. 68(4), pages 883-904.

    More about this item

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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