Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - Université Paris-Dauphine (Paris IX) - 2013
In this paper we analyse the risk attitude of a group of heterogenous agents and we develop a theory of comparative … collective risk tolerance. In particular, we characterize how shifts in the distribution of individual levels of risk tolerance … affect the representative agent's degree of risk tolerance. In the model with efficient risk – sharing and two agents (e.g. a …