Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility
Alain Chateauneuf (),
Dana, R.-A, and
Jean-Marc Tallon ()
Papiers d'Economie MathÃ©matique et Applications from UniversitÃ© PanthÃ©on-Sorbonne (Paris 1)
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.
Keywords: RISK; UTILITY FUNCTION; MODELS (search for similar items in EconPapers)
JEL-codes: D81 C60 (search for similar items in EconPapers)
Pages: 33 pages
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:97.54
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