Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

被引：0
|
作者：
De-jian TIAN
Shang-ri WU
机构：
[1] China University of Mining and Technology
[2] School of Mathematics
来源：
Acta Mathematicae Applicatae Sinica | 2024年 / 40卷 / 02期
基金：
中国国家自然科学基金;
关键词：
D O I：
暂无
中图分类号：
O211.67 [期望与预测];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This article analyzes the Pareto optimal allocations, agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU) model. We provide several useful characterizations for Pareto optimal allocations for risk averse agents. We derive the formulation descriptions for non-existence agreeable trades or agreeable bets for risk neutral agents. We build some relationships between ex-ante stage and interim stage on agreeable trades or bets when new information arrives.
引用
收藏
页码：430 / 444
页数：15
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