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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. Townsend, Robert M, 1994. "Risk and Insurance in Village India," Econometrica, Econometric Society, vol. 62(3), pages 539-91, May.
  3. Martin Browning & Pierre-Andre Chiappori, 1994. "Efficient Intra-Household Allocations: a General Characterization and Empirical Tests," Department of Economics Working Papers 1994-02, McMaster University.
  4. Luciano De Castro & Marialaura Pesce & Nicolas Yannelis, 2011. "Core and Equilibria under ambiguity," Discussion Papers 1534, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  5. 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.
  6. Galichon, Alfred & Dana, Rose-Anne & Carlier, Guillaume, 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Economics Papers from University Paris Dauphine 123456789/9713, Paris Dauphine University.
  7. 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.
  8. Tatjana Chudjakow & Frank Riedel, 2009. "The Best Choice Problem under ambiguity," Working Papers 413, Bielefeld University, Center for Mathematical Economics.
  9. 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.
  10. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
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