A RISK AVERSION VALUE FOR N-PERSON TRANSFERABLE UTILITY GAMES

Anselme Njocke ()
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Anselme Njocke: CATT - Centre d'Analyse Théorique et de Traitement des données économiques - UPPA - Université de Pau et des Pays de l'Adour

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Abstract: While the Shapley value for n-person transferable utility games is based on the following principle: « in each according to their contribution », we propose a value in a cooperative game founded on the precautionary index (or the capacity of influence) of a player in a negotiation, as well as the order in which coalitions are formed. Let us note that the Shapley value (1953) and the Nowak and Radzik solidarity value (1994) are generalized by taking risk aversion into account. The main idea of this paper is that a player's marginal contribution will be distributed between this player and those already present in the constitution of the large coalition N . The sharing out of a player's marginal contribution rests on the idea that other players can question his/her taking over the whole marginal contribution and he/she knows it. He/she is therefore going to demand only what he/she is sure to appropriate. Since there are absolute not courageous players, the risk aversion value is efficient, additive, not necessarily individually rational, not necessarily symmetrical (not necessarily neutral) and not necessarily dummy.

Keywords: precautionary index. JEL Classification Number -D71; marginal contribution; marginal claim of a player; absolute timorous player; Absolute courageous player; Absolute courageous player absolute timorous player marginal claim of a player marginal contribution precautionary index. JEL Classification Number -D71; joueur vaillant absolu; joueur timoré absolu; Indice de prudence (search for similar items in EconPapers)
Date: 2015
Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-05361248v1
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Published in Finance India, 2015, XXIX (4)

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