Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

IF 0.9 4区数学 Q3 MATHEMATICS, APPLIED

Acta Mathematicae Applicatae Sinica, English Series Pub Date : 2024-03-27 DOI:10.1007/s10255-024-1045-3

De-jian Tian, Shang-ri Wu

引用次数: 0

Abstract

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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Maxmin Choquet 预期效用模型的最优风险分担

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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来源期刊

Acta Mathematicae Applicatae Sinica, English Series 数学-应用数学

CiteScore

1.30

自引率

0.00%

发文量

审稿时长

3.0 months

期刊介绍： Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.