Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the Rank Dependent Expected Util- ity (RDU) are fully characterized. Specific attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient....

We consider a class of law invariant utilities which contains the Rank Dependent Expected Utility (RDU) and the cumulative prospect theory (CPT). We show that the computation of demand for a contingent claim when utilities are within that class, although not as simple as in the Expected Utility...

The article analyzes the Dynkin (1975) stochastic model of economic equilibrium. We solve a question regarding this model that was open for a long time. We provide arguments yielding a complete proof of Dynkin's existence theorem for equilibrium paths.

This paper deals with risk-sharing problems between many agents, each of whom having a strictly concave law invariant utility. In the special case where every agent's utility is given by a concave integral functional of the quantile of her individual endowment, we fully characterize the optimal...

This paper characterizes the core of a differentiable convex distortion of a probability measure on a nonatomic space by identifying it with the set of densities which dominate the derivative of the distortion, for second order stochastic dominance. The densities that have the same distribution...

Ce chapitre présente le domaine professionnel et la prise en compte des risques organisationnels, les résultats de recherche en risques organisationnels et le modèle d'identification des risques organisationnels à partir de la coordination.

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...

Purpose of the paper: Risk orientated disclosure is a focal issue of corporate communication. Many provisions have been implemented in the USA and in Europe to promote transparency about risks faced by companies, especially by quoted ones. The increase of mandatory risk reporting applying to...

The standard literature on the value of life relies on Yaari’s (1965) model, which includes an implicit assumption of risk neutrality with respect to life duration. To overpass this limitation, we extend the theory to a simple variety of nonadditively separable preferences. The enlargement we...