Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

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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.

作者 De-jian TIAN Shang-ri WU

机构地区 School of Mathematics

出处《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2024年第2期430-444,共15页 应用数学学报（英文版）

基金 supported by the National Natural Science Foundation of China(No.12171471) Natural Science Foundation of Jiangsu Province(No.BK20221543).

关键词 maxmin Choquet expected utility model Pareto optimal allocation agreeable trade agreeable bet

分类号 O211.67 [理学—概率论与数理统计]

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Acta Mathematicae Applicatae Sinica

2024年第2期

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Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

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