Diversification, convex preferences and non-empty core in the Choquet expected utility model

Alain Chateauneuf, Rose Anne Dana () and Jean-Marc Tallon
Additional contact information
Rose Anne Dana: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non-additive expected utility maximizers. We show that when agents have the same convex capacity, the set of Pareto-optima is independent of it and identical to the set of optima of an economy in which agents are expected utility maximizers and have same probability. Hence, optimal allocations are comonotone. This enables us to study the equilibrium set. When agents have different capacities, matters are much more complex (asin the vNM case). We give a general characterization and show how it simplifies when Pareto-optima are comonotone. We use this result to characterize Pareto-optima when agents have capacities that are the convex transform of some probability distribution. comonotonicity of Pareto-optima is also shown to be true in the two-state case if the intersection of the core of agents' capacities is non-empty; Pareto-optima may then be fully characterized in the two-agent, two-state case. This comonotonicity result does not generalize to more than two states as we show with a counter-example. Finally, if there is no-aggregate risk, we show thatnon-empty core intersection is enough to guarantee that optimal allocations are full-insurance allocation. This result does not require convexity of preferences.

Keywords: Choquet expected utility; comonotonicity; risk-sharing; equilibrium (search for similar items in EconPapers)
Date: 2002
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00174770v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Published in Economic Theory, 2002, 19 (03), pp.509-523

Downloads: (external link)
https://shs.hal.science/halshs-00174770v1/document (application/pdf)

Related works:
Journal Article: Diversification, convex preferences and non-empty core in the Choquet expected utility model (2002)
Working Paper: Diversification, convex preferences and non-empty core in the Choquet expected utility model (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00174770

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().