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Restrictions and identification in a multidimensional risk-sharing problem

  • Aloqeili, M.
  • Carlier, Guillaume
  • Ekeland, Ivar

We consider H expected utility maximizers that have to share a risky aggregate multivariate endowment X∈RN and address the following two questions: does efficient risk-sharing imply restrictions on the form of individual consumptions as a function of X ? Can one identify the individual utility functions from the observation of the risk-sharing? We show that when H≥2NN−1 efficient risk sharings have to satisfy a system of nonlinear PDEs. Under an additional rank condition, we prove an identification theorem.

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Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/12413.

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Date of creation: 2014
Date of revision:
Publication status: Published in Economic theory, 2014, Vol. 56, no. 2. pp. 409-423.Length: 14 pages
Handle: RePEc:dau:papers:123456789/12413
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  1. Dana, Rose-Anne & Carlier, Guillaume, 2008. "Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities," Economics Papers from University Paris Dauphine 123456789/2348, Paris Dauphine University.
  2. Robert M. Townsend, . "Risk and Insurance in Village India," University of Chicago - Population Research Center 91-3a, Chicago - Population Research Center.
  3. Chiappori, P. A. & Ekeland, Ivar, 2009. "The Economics and Mathematics of Aggregation: Formal Models of Efficient Group Behavior," Foundations and Trends(R) in Microeconomics, now publishers, vol. 5(1–2), pages 1-151, November.
  4. Tatjana Chudjakow & Frank Riedel, 2013. "The best choice problem under ambiguity," Economic Theory, Springer, vol. 54(1), pages 77-97, September.
  5. Guillaume Carlier & Rose-Anna Dana & Alfred Galichon, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Sciences Po publications info:hdl:2441/5rkqqmvrn4t, Sciences Po.
  6. Luciano Castro & Marialaura Pesce & Nicholas Yannelis, 2011. "Core and equilibria under ambiguity," Economic Theory, Springer, vol. 48(2), pages 519-548, October.
  7. Martin Browning & P.A. Chiappori, 1996. "Efficient Intra-Household Allocations - A General Characterization and Empirical Tests," Discussion Papers 96-10, University of Copenhagen. Department of Economics.
  8. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
  9. Maurizio Mazzocco, 2007. "Household Intertemporal Behaviour: A Collective Characterization and a Test of Commitment," Review of Economic Studies, Oxford University Press, vol. 74(3), pages 857-895.
  10. G. Carlier & R. Dana, 2008. "Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities," Economic Theory, Springer, vol. 36(2), pages 189-223, August.
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