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Une Valeur D’Aversion Au Risque Dans Un Jeu Coopératif À Utilités Transférables

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  • Anselme Njocke

    (CATT - Centre d'Analyse Théorique et de Traitement des données économiques - UPPA - Université de Pau et des Pays de l'Adour)

Abstract

Alors que la valeur de Shapley est construite à partir du principe : « à chacun selon sa contribution », nous proposons une valeur d'aversion au risque dans un jeu coopératif fondée sur l'indice de prudence (ou la capacité d'influence) d'un joueur dans une négociation, et sur l'ordre de formation des coalitions. Notons que la valeur de Shapley (1953) et la valeur solidaire de Nowak et Radzik (1994) sont généralisées par la prise en compte de l'aversion au risque. L'idée centrale de ce papier est que la contribution marginale d'un joueur fait l'objet d'un partage entre ce joueur et les autres joueurs déjà présents dans la constitution de la grande coalition . La répartition de la contribution marginale d'un joueur repose sur l'idée que les autres joueurs peuvent lui contester l'appropriation totale de cette contribution marginale et il le sait. Il ne va donc revendiquer que ce dont il est sûr de s'approprier. Dès lors qu'il existe des joueurs timorés, la valeur d'aversion au risque est efficiente, additive, non nécessairement individuellement rationnelle, non nécessairement neutre et non nécessairement « dummy ».

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  • Anselme Njocke, 2015. "Une Valeur D’Aversion Au Risque Dans Un Jeu Coopératif À Utilités Transférables," Post-Print hal-01885284, HAL.
    • Handle: RePEc:hal:journl:hal-01885284
    Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-01885284v2
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    1. SCHMEIDLER, David, 1969. "The nucleolus of a characteristic function game," LIDAM Reprints CORE 44, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Nowak, Andrzej S & Radzik, Tadeusz, 1994. "A Solidarity Value for n-Person Transferable Utility Games," International Journal of Game Theory, Springer;Game Theory Society, vol. 23(1), pages 43-48.
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