Maxmin Choquet 预期效用模型的最优风险分担

Pub Date : 2024-03-27 DOI:10.1007/s10255-024-1045-3

De-jian Tian, Shang-ri Wu

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引用次数: 0

摘要

本文分析了最大乔奎特预期效用（MCEU）模型下的帕累托最优分配、合意交易和合意投注。我们为风险厌恶代理的帕累托最优分配提供了几个有用的特征。我们推导出了风险中性代理的不存在合意交易或合意投注的表述描述。当新信息出现时，我们在合意交易或合意投注的事前阶段和中期阶段之间建立了一些关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

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.

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