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Agreement theorem for neo-additive beliefs
Lefort, Jean-Philippe; Dominiak, Adam - Université Paris-Dauphine (Paris IX) - 2013
In this paper, we extend Aumann’s (Ann Stat 4:1236–1239, 1976) probabilistic agreement theorem to situations in which agents’ prior beliefs are represented by a common neo-additive capacity. In particular, we characterize the family of updating rules for neo-additive capacities, which are...
Persistent link: https://www.econbiz.de/10011166521
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Intertemporal Equilibria with Knightian Uncertainty
Riedel, Frank; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2010
We study a dynamic and in nite{dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In in- terior e cient allocations, agents share a common risk{adjusted prior and use the same subjective interest rate. Interior e cient alloca- tions and equilibria...
Persistent link: https://www.econbiz.de/10010861585
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A Dynamic Ellsberg Urn Experiment
Lefort, Jean-Philippe; Dominiak, Adam; Dürsch, Peter - Université Paris-Dauphine (Paris IX) - 2012
Two rationality arguments are used to justify the link between conditional and unconditional preferences in decision theory : dynamic consistency and consequentialism. Dynamic consistency requires that ex ante contingent choices are respected by up dated preferences. Consequentialism states that...
Persistent link: https://www.econbiz.de/10011071929
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The impact of ambiguity on health prevention and insurance
Etner, Johanna; Spaeter, Sandrine - Université Paris-Dauphine (Paris IX) - 2009
utility (depending on wealth and health), we show that the presence of a well-known (no ambiguity) additive risk of … cross prudence in wealth (u122 < 0). If there is some ambiguity on the e¤ective probability of complication, an increase in … ambiguity aversion increases prevention if the agent is a correlation lover (u12 > 0). We also show that full (partial …
Persistent link: https://www.econbiz.de/10011072638
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A dynamic Ellsberg urn experiment
Dominiak, Adam; Dürsch, Peter; Lefort, Jean-Philippe - Université Paris-Dauphine (Paris IX) - 2012
Many theories of updating under ambiguity assume either dynamic consistency or consequentialism to underpin … consequentialism than with dynamic consistency and that this result is even stronger among ambiguity averse subjects. …
Persistent link: https://www.econbiz.de/10011073068
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Intertemporal equilibria with Knightian uncertainty
Riedel, Frank; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2013
of ambiguity, there exists an equilibrium with inertia where agents also insure fully against Knightian uncertainty. When … the level of ambiguity exceeds a critical threshold, full insurance no longer prevails and there exist equilibria with …
Persistent link: https://www.econbiz.de/10011171623
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"Agreeing to Disagree" Type Results under Ambiguity
Lefort, Jean-Philippe; Dominiak, Adam - Université Paris-Dauphine (Paris IX) - 2011
In this paper we show that unlike in Bayesian frameworks asymmetric information does matter and can explain differences in common knowledge decisions due to ambiguous character of agents' private information. Agents share a common-but-not-necessarily-additive prior beliefs represented by...
Persistent link: https://www.econbiz.de/10010708088
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Les risques provenant de l'organisation interne
Romelaer, Pierre - Université Paris-Dauphine (Paris IX) - 2013
Ce chapitre présente le domaine professionnel et la prise en compte des risques organisationnels, les résultats de recherche en risques organisationnels et le modèle d'identification des risques organisationnels à partir de la coordination.
Persistent link: https://www.econbiz.de/10011105183
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La gestion de la sécurité dans les entreprises : de la recherche du risque zéro à la résilience
Adrot, Anouck; Rigaud, Éric - Université Paris-Dauphine (Paris IX) - 2015
Persistent link: https://www.econbiz.de/10011162136
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Optimal investment under multiple defaults risk: a BSDE-decomposition approach
Jiao, Ying; Kharroubi, Idris; Pham, Huyen - Université Paris-Dauphine (Paris IX) - 2013
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...
Persistent link: https://www.econbiz.de/10011166302