Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility

Alain Chateauneuf, Dana, R.-A, and Jean-Marc Tallon

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: 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: C60 D81 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1997
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Optimal risk-sharing rules and equilibria with Choquet-expected-utility (2000)
Working Paper: Optimal risk-sharing rules and equilibria with Choquet-expected-utility (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:97.54

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