Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility
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.
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|Date of creation:||1997|
|Contact details of provider:|| Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France|
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