دانلود مقاله ISI انگلیسی شماره 51436
عنوان فارسی مقاله

قوانین تسهیم ریسک بهینه و تعادل با ابزار مورد انتظار "شوکه"

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
51436 2000 24 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Optimal risk-sharing rules and equilibria with Choquet-expected-utility
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Mathematical Economics, Volume 34, Issue 2, October 2000, Pages 191–214

کلمات کلیدی
ابزار مورد انتظار "شوکه" ؛ تسهیم ریسک؛ تعادل
پیش نمایش مقاله
پیش نمایش مقاله قوانین تسهیم ریسک بهینه و تعادل با ابزار مورد انتظار "شوکه"

چکیده انگلیسی

This 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.

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