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dc.contributor.authorCarlier, Guillaume
dc.contributor.authorDana, Rose-Anne
HAL ID: 12658
dc.date.accessioned2011-01-12T11:47:07Z
dc.date.available2011-01-12T11:47:07Z
dc.date.issued2003
dc.identifier.issn0022-0531
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5446
dc.language.isoenen
dc.subjectConvex distortion
dc.subjectDerivative and superdifferential of a Choquet integral
dc.subjectCore
dc.subjectCapacity
dc.subject.ddc519en
dc.subject.classificationjelD8en
dc.subject.classificationjelC0en
dc.titleCore of convex distortions of a probability
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper characterizes the core of a differentiable convex distortion of a probability measure on a nonatomic space by identifying it with the set of densities which dominate the derivative of the distortion, for second order stochastic dominance. The densities that have the same distribution as the derivative of the distortion are the extreme points of the core. These results are applied to the differentiability of a Yaari's or Rank Dependent Expected utility function. The superdifferential of a Choquet integral at any point is fully characterized. Examples of use of these results in simple models where some agent is a RDEU maximizer are given.
dc.relation.isversionofjnlnameJournal of Economic Theory
dc.relation.isversionofjnlvol113
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2003
dc.relation.isversionofjnlpages199-222
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0022-0531(03)00122-4
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-05-16T12:56:43Z


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