Restrictions and identification in a multidimensional risk-sharing problem
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.
|Date of creation:||2014|
|Date of revision:|
|Publication status:||Published in Economic theory, 2014, Vol. 56, no. 2. pp. 409-423.Length: 14 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Townsend, Robert M, 1994.
"Risk and Insurance in Village India,"
Econometric Society, vol. 62(3), pages 539-91, May.
- Townsend, R.M., 1991. "Risk and Insurance in Village India," University of Chicago - Economics Research Center 91-3, Chicago - Economics Research Center.
- Robert M. Townsend, . "Risk and Insurance in Village India," University of Chicago - Population Research Center 91-3a, Chicago - Population Research Center.
- 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.
- M. Browning & P. A. Chiappori, 1998. "Efficient Intra-Household Allocations: A General Characterization and Empirical Tests," Econometrica, Econometric Society, vol. 66(6), pages 1241-1278, November.
- Browning, M. & Chiappori, P.A., 1994. "Efficient Intra-Household allocations: A General Characterization and Empirical Tests," DELTA Working Papers 94-16, DELTA (Ecole normale supérieure).
- 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.
- Luciano De Castro & Marialaura Pesce & Nicolas Yannelis, 2011.
"Core and Equilibria under ambiguity,"
1534, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- 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.
- Carlier, G. & Dana, R.-A. & Galichon, A., 2012. "Pareto efficiency for the concave order and multivariate comonotonicity," Journal of Economic Theory, Elsevier, vol. 147(1), pages 207-229.
- 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.
- 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.
- Tatjana Chudjakow & Frank Riedel, 2009.
"The Best Choice Problem under ambiguity,"
413, Bielefeld University, Center for Mathematical Economics.
- 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.
- repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:dau:papers:123456789/12413. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexandre Faure)
If references are entirely missing, you can add them using this form.