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


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


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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    References listed on IDEAS

    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.
    3. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    4. Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 77-91, July.
    5. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    6. Quiggin John & Wakker Peter, 1994. "The Axiomatic Basis of Anticipated Utility: A Clarification," Journal of Economic Theory, Elsevier, vol. 64(2), pages 486-499, December.
    7. Allais Maurice, 1990. "Cardinal Utility," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 1(2), pages 1-38, June.
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    Cited by:

    1. Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
    2. Jeleva, Meglena & Tallon, Jean-Marc, 2016. "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
    3. Jan Werner, 2009. "Risk and risk aversion when states of nature matter," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 231-246, November.
    4. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
    5. Eisei Ohtaki & Hiroyuki Ozaki, 2015. "Monetary equilibria and Knightian uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(3), pages 435-459, August.
    6. Wen-Fang Liu, 1998. "Heterogeneous Agent Economies with Knightian Uncertainty," Discussion Papers in Economics at the University of Washington 0053, Department of Economics at the University of Washington.

    More about this item



    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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