• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

Core of convex distortions of a probability on a non atomic space

Dana, Rose-Anne; Carlier, Guillaume (2001), Core of convex distortions of a probability on a non atomic space. https://basepub.dauphine.fr/handle/123456789/12057

Type
Document de travail / Working paper
Date
2001
Series title
Cahiers du CEREMADE
Published in
Paris
Pages
26
Metadata
Show full item record
Author(s)
Dana, Rose-Anne
Carlier, Guillaume
Abstract (EN)
his paper characterizes the core of a differentiable convex dis-tortion of a probability measure on a non atomic space by identifying it withthe set of densities which dominate the derivative of the distortion, for secondorder stochastic dominance. Furthermore the densities that have the samedistribution as the derivative of the distortion are the extreme points of thecore. These results are applied to the differentiability of a Choquet integralwith respect to a distortion of a probability measure (respectively the dif-ferentiability of a Yaari’s or Rank Dependent Expected utility function). AChoquet integral is differentiable atxif and only ifxhas a strictly increasingquantile function. The superdifferential of a Choquet integral at any point isthen fully characterized. Examples of uses of these results in simple modelswhere some agent is a Rank Dependent Expected Utility (RDEU) maximizerare then given. In particular, efficient risk sharing among an expected utilitymaximizer and a RDEU maximizer and among two RDEU maximizers ischaracterized
Subjects / Keywords
Fonctions convexes; Choquet, théorie de; Mesures de probabilités

Related items

Showing items related by title and author.

  • Thumbnail
    Core of convex distortions of a probability 
    Carlier, Guillaume; Dana, Rose-Anne (2003) Article accepté pour publication ou publié
  • Thumbnail
    Rearrangement inequalities in non-convex insurance models 
    Carlier, Guillaume; Dana, Rose-Anne (2005) Article accepté pour publication ou publié
  • Thumbnail
    Existence and monotonicity of solutions to moral hazard problems 
    Dana, Rose-Anne; Carlier, Guillaume (2005) Article accepté pour publication ou publié
  • Thumbnail
    Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities 
    Dana, Rose-Anne; Carlier, Guillaume (2008) Article accepté pour publication ou publié
  • Thumbnail
    Are generalized call-spreads efficient ? 
    Carlier, Guillaume; Dana, Rose-Anne (2007) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo