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Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility

Author

Listed:
  • Chateauneuf, A.
  • Dana, R.-A,
  • Tallon, J.-M.

Abstract

This paper explores the consequences of non-additive expected utility on risk-sharing and equilibrium in a general equilibrium set-up. We establish that convexity of an agent's preferences (or strong uncertainty aversion) is equivalent to the convexity of his capacity and concavity of his utility index. We also characterize a weaker form of uncertainty aversion.

Suggested Citation

  • Chateauneuf, A. & Dana, R.-A, & Tallon, J.-M., 1997. "Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility," Papiers d'Economie Mathématique et Applications 97.54, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:97.54
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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