This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic...

The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. A sufficient condition for existence of efficient allocations is that the relative interiors of the risk adjusted sets of expectations overlap. This...

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....

In finite dimensional economies, it was proven by Werner [Werner, J., 1987. Arbitrage and the existence of competitive equilibrium. Econometrica 55, 1403–1418.], that if there exists a no-arbitrage price (equivalently, under standard assumptions on agents' utilities, if aggregate demand exists...

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...