Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre

Jean-Marc Tallon

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Abstract: This paper studies the properties of a general equilibrium model with purely microeconomic risk, in which agents behave according to Choquet expected utility (i.e., they maximize a non-additive expected utility). This formalization represents a behavior exhibiting uncertainty aversion or pessimism. Under the assumption that there is a minimal consensus in the economy, it is shown that agents are fully insured at an equilibrium, that the equilibrium allocation is indeterminate, and that the size of the equilibrium set increases with the degree of uncertainty aversion.

Keywords: Risque microéconomique; indétermination de l'équilibre (search for similar items in EconPapers)
Date: 1997
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Published in Annales d'Economie et de Statistique, 1997, 48, pp.211-226

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Related works:
Journal Article: Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre (1997)
Working Paper: Risque microeconomique, aversion a l'incertitude et indermination de l'equilibre (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00502518

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