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Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities

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  • G. Carlier
  • R. Dana

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  • G. Carlier & R. Dana, 2008. "Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 189-223, August.
    • Handle: RePEc:spr:joecth:v:36:y:2008:i:2:p:189-223
    DOI: 10.1007/s00199-007-0266-z
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    References listed on IDEAS

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    1. Hong, Chew Soo & Karni, Edi & Safra, Zvi, 1987. "Risk aversion in the theory of expected utility with rank dependent probabilities," Journal of Economic Theory, Elsevier, vol. 42(2), pages 370-381, August.
    2. Mussa, Michael & Rosen, Sherwin, 1978. "Monopoly and product quality," Journal of Economic Theory, Elsevier, vol. 18(2), pages 301-317, August.
    3. Carlier, G. & Dana, R.-A., 2005. "Rearrangement inequalities in non-convex insurance models," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 483-503, August.
    4. repec:dau:papers:123456789/5389 is not listed on IDEAS
    5. repec:dau:papers:123456789/5392 is not listed on IDEAS
    6. Hong, Chew Soo & Wakker, Peter, 1996. "The Comonotonic Sure-Thing Principle," Journal of Risk and Uncertainty, Springer, vol. 12(1), pages 5-27, January.
    7. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, December.
    8. Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-26, July.
    9. Green, Jerry R & Jullien, Bruno, 1988. "Ordinal Independence in Nonlinear Utility Theory," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 355-387, December.
    10. Chew, S. H. & Epstein, L. G., 1989. "A unifying approach to axiomatic non-expected utility theories," Journal of Economic Theory, Elsevier, vol. 49(2), pages 207-240, December.
    11. Rose‐Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634, October.
    12. Carlier, G. & Dana, R. A., 2003. "Core of convex distortions of a probability," Journal of Economic Theory, Elsevier, vol. 113(2), pages 199-222, December.
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    More about this item

    Keywords

    Risk-sharing rules; Equilibria; Non-expected utilities; C61; D81;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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