{"title":"Maxmin Choquet 预期效用模型的最优风险分担","authors":"De-jian Tian, Shang-ri Wu","doi":"10.1007/s10255-024-1045-3","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":6951,"journal":{"name":"Acta Mathematicae Applicatae Sinica, English Series","volume":"40 2","pages":"430 - 444"},"PeriodicalIF":0.9000,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Optimal Risk Sharing for Maxmin Choquet Expected Utility Model\",\"authors\":\"De-jian Tian, Shang-ri Wu\",\"doi\":\"10.1007/s10255-024-1045-3\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":6951,\"journal\":{\"name\":\"Acta Mathematicae Applicatae Sinica, English Series\",\"volume\":\"40 2\",\"pages\":\"430 - 444\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2024-03-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Acta Mathematicae Applicatae Sinica, English Series\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10255-024-1045-3\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Acta Mathematicae Applicatae Sinica, English Series","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10255-024-1045-3","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
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.
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.