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dc.contributor.authorTallon, Jean-Marc
dc.contributor.authorDana, Rose-Anne
dc.contributor.authorChateauneuf, Alain
dc.date.accessioned2011-01-12T17:17:53Z
dc.date.available2011-01-12T17:17:53Z
dc.date.issued2000
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5461
dc.language.isoenen
dc.subjectEquilibriumen
dc.subjectRisk-sharingen
dc.subjectComonotonicityen
dc.subjectChoquet expected utilityen
dc.subject.ddc332en
dc.subject.classificationjelD81en
dc.subject.classificationjelC61en
dc.subject.classificationjelC62en
dc.titleOptimal risk-sharing rules and equilibria with Choquet-expected-utilityen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCERMSEM, Université Paris I;France
dc.contributor.editoruniversityotherCNRS–EUREQua;France
dc.description.abstractenThis 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 the same probability. Hence, optimal allocations are comonotone. This enables us to study the equilibrium set. When agents have different capacities, the matters are much more complex (as in 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 that non-empty core intersection is enough to guarantee that optimal allocations are full-insurance allocation. This result does not require convexity of preferences.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol34en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2000
dc.relation.isversionofjnlpages191-214en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0304-4068(00)00041-0en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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