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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Year of publication:	1997
Authors:	Chateauneuf, A. ; Dana, R.-A ; Tallon, J.-M.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	RISK \| UTILITY FUNCTION \| MODELS

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005776511