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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.contributor.authorNocetti, Diego
dc.date.accessioned2011-02-07T15:31:50Z
dc.date.available2011-02-07T15:31:50Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5673
dc.language.isoenen
dc.subjectcollective risken
dc.subjectheterogenous agentsen
dc.subjectrisk toleranceen
dc.subjectisoelastic preferencesen
dc.subjectaggregate wealthen
dc.subjectrisk preferencesen
dc.subject.ddc332en
dc.subject.classificationjelD1en
dc.subject.classificationjelD81en
dc.titleCollective risk aversionen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDauphine Recherches en Management (DRM) CNRS : UMR7088 – Université Paris Dauphine - Paris IX;France
dc.contributor.editoruniversityotherCourant Institute of Mathematical Science (CIMS) New York University;États-Unis
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenIn this paper we analyse the risk attitude of a group of heterogenous agents and we develop a theory of comparative collective risk tolerance. In particular, we characterize how shifts in the distribution of individual levels of risk tolerance affect the representative agent's degree of risk tolerance. In the model with efficient risk – sharing and two agents (e.g. a household) with isoelastic preferences we show that an increase of the level of risk tolerance of one of the agents might have an ambiguous impact on the aggregate level of risk tolerance; the latter increases for some levels of aggregate wealth while it decreases for other levels of aggregate wealth. Specifically, there are two possible shapes for aggregate risk tolerance as a function of the risk tolerance level of one of the agents: increasing curve or increasing then decreasing curve. For more general populations we characterize the effect of first order like shifts (individual levels of risk tolerance more concentrated on high values) and second order like shifts (more dispersion on individual levels of risk tolerance) on the collective level of risk tolerance. We also evaluate how shifts in the distribution of individual levels of risk tolerance impact the collective level of risk tolerance in a framework with exogenous egalitarian sharing rules. Our results permit to better characterize differences in risk taking behavior between groups and individuals and among groups with different distribution of risk preferences.en
dc.relation.isversionofjnlnameSocial Choice and Welfare
dc.relation.isversionofjnlvol40
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages411-437
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00355-011-0611-9
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00559137/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen


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