CaltechAUTHORS
  A Caltech Library Service

When does aggregation reduce uncertainty aversion?

Chambers, Christopher P. and Echenique, Federico (2009) When does aggregation reduce uncertainty aversion? Social Science Working Paper, 1299. California Institute of Technology , Pasadena, CA. http://resolver.caltech.edu/CaltechAUTHORS:20101008-104052139

[img]
Preview
PDF - Published Version
See Usage Policy.

244Kb
[img]
Preview
PDF (Author's copy) - Accepted Version
See Usage Policy.

273Kb

Use this Persistent URL to link to this item: http://resolver.caltech.edu/CaltechAUTHORS:20101008-104052139

Abstract

We study the problem of uncertainty sharing within a household: "risk sharing," in a context of Knightian uncertainty. A household shares uncertain prospects using a social welfare function. We characterize the social welfare functions such that the household is collectively less averse to uncertainty than each member, and satises the Pareto principle and an independence axiom. We single out the sum of certainty equivalents as the unique member of this family which provides quasiconcave rankings over risk-free allocations.


Item Type:Report or Paper (Working Paper)
Additional Information:From Author's copy: We thank David Ahn, Kim Border, and Massimo Marinacci for comments, and SangMok Lee for excellent research assistance. Our research was supported by the National Science Foundation through grant SES-0751980.
Group:Social Science Working Papers
Funders:
Funding AgencyGrant Number
NSFSES-0751980
Subject Keywords:Uncertainty Aversion, Risk Sharing, Certainty Equivalent, Multiple Priors
Classification Code:JEL classication numbers: D01,D13
Record Number:CaltechAUTHORS:20101008-104052139
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20101008-104052139
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:20354
Collection:CaltechAUTHORS
Deposited By: Shirley Johnson
Deposited On:08 Oct 2010 17:49
Last Modified:26 Dec 2012 12:30

Repository Staff Only: item control page