Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

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.