S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterizationof law invariant coherent risk measures, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02]. In thepresent note we extend Kusuoka's characterization in two directions, thefirst one being...

We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous-time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. The members of this...

This paper examines the debate over the gains from trade when international differences in the risk perception of heterogeneous managers provide the basis for trade: the relatively optimistic country exports the risky commodity whereas the relatively pessimistic country exports the certain...

Cet article examine l’incidence des maladies invalidantes sur les contrats d’assurance santé en présence de sélection adverse. Pour ce faire, nous utilisons un modèle d’utilité bivariée de décision dans le risque. Nous montrons que l’introduction des maladies invalidantes modifie...

This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The political risk is modelled as a continous time...

In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected...

L'objectif de l'intelligence stratégique est d'aider la connaissance et la compréhension de la situation stratégique. Nous établissons qu'en majorité la littérature sur l'intelligence stratégique propose une vision qui semble "rationnelle", mais qui de manière prévisible ne permet pas...

This paper explores the relationship between dynamic consistency and existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker’s preferences respect...