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Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre

Author

Listed:
  • Jean-Marc Tallon

    (M.A.D. - UP1 - Université Paris 1 Panthéon-Sorbonne)

Abstract

This paper studies the properties of a general equilibrium model with purely microeconomic risk, in which agents behave according to Choquet expected utility (i.e., they maximize a non-additive expected utility). This formalization represents a behavior exhibiting uncertainty aversion or pessimism. Under the assumption that there is a minimal consensus in the economy, it is shown that agents are fully insured at an equilibrium, that the equilibrium allocation is indeterminate, and that the size of the equilibrium set increases with the degree of uncertainty aversion.

Suggested Citation

  • Jean-Marc Tallon, 1997. "Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre," Post-Print halshs-00502518, HAL.
    • Handle: RePEc:hal:journl:halshs-00502518
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    Citations

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    Cited by:

    1. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
    2. Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(4), pages 883-904.
    3. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty : What approach?]," MPRA Paper 25442, University Library of Munich, Germany.
    4. Jean-Marc Tallon & Alain Chateauneuf, 2002. "Diversification, convex preferences and non-empty core in the Choquet expected utility model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 19(3), pages 509-523.
    5. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
    6. repec:dau:papers:123456789/5461 is not listed on IDEAS
    7. Trabelsi, Mohamed Ali, 2006. "Les Nouveaux Modèles de Décision dans le Risque et l’Incertain : Quel Apport ? [The New Models of Decision Under Risk or Uncertainty : What Approach?]," MPRA Paper 76954, University Library of Munich, Germany.

    More about this item

    Keywords

    Risque microéconomique; indétermination de l'équilibre;

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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