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Sharing beliefs and the absence of betting in the Choquet expected utility model |
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| Authors: | Antoine Billot Alain Chateauneuf Itzhak Gilboa Jean-Marc Tallou |
| Institution: | 1. CERAS-ENPC, Institut Universitaire de France, and Université Paris II, 92, rue d’Assas, 75006, Paris, France 2. CERMSEM, Université Paris I, 106-112, Bld de l’H?pital, 75647, Paris, Cedex 13, France 3. Eitan Berglas School of Economics and Recanati School of Business, Tel-Aviv University, 69978, Tel Aviv, Israel 4. CNRS-EUREQua, 106-112, Bid de l’H?pital, 75647, Paris, Cedex 13, France |
| Abstract: | Choquet expected utility maximizers tend to behave in a more “cautious” way than Bayesian agents, i. e. expected utility maximizers. We illustrate this phenomenon in the particular case of betting behavior. Specifically, consider agents who are Choquet expected utility maximizers. Then, if the economy is large, Pareto optimal allocations provide full insurance if and only if the agents share at least on prior, i. e., if the intersection of the core of the capacities representing their beliefs is non empty. In the expected utility case, this is true only if they have a common prior. Received: July 2000; revised version: May 2001 |
| Keywords: | : Betting Choquet expected utility full insurance Pareto optimality |
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