Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
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DOI：
10.2139/ssrn.903164
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发表时间：
2006-05
期刊：
影响因子：
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通讯作者：
Chiaki Hara;James Huang;Christoph Kuzmics
中科院分区：
文献类型：
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作者：
Chiaki Hara;James Huang;Christoph Kuzmics
本文研究了单时期、单商品经济中具有代表性的消费者的风险态度和有效的风险分担规则，在这种经济中，消费者具有同质的概率信念，但具有异质的风险态度。证明了如果所有消费者都具有凸的绝对风险容忍度，那么代表性消费者也必须具有凸的绝对风险容忍度。我们还确定了个人消费者的个人风险分担规则的曲率和他的绝对谨慎，绝对风险容忍度的第一衍生物之间的关系。此外，我们讨论了这些结果的一些后果和这些结果的HARA效用函数类的改进。
We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must the representative consumer. We also identify a relationship between the curvature of an individual consumer's individual risk sharing rule and his absolute cautiousness, the first derivative of absolute risk-tolerance. Furthermore, we discuss some consequences of these results and refinements of these results for the class of HARA utility functions.