This paper derives the properties of the discount rate that should be applied to a public-sector project when the affected population has heterogeneous degrees of impatience. We show that, for any distribution of discount rates, the social discount rate has the following properties: it decreases...

We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random...

The objective of this paper is to adopt a general equilibrium model and determine the socially efficient discount factor, risk free rate and discount rate when there are heterogeneous anticipations about the growth of the economy as well as heterogeneous time preference rates. Among others we...

In this paper we eliminate the free disposal assumption in a general equilibrium model in which the production sector may exhibit increasing returns to scale or more general types of nonconvexities and where the firms follow general pricing rules. Under standard assumptions in this framework, we...

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

In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the effect of uncertainty on the...

This paper investigates necessary conditions for an equilibrium to exist on a reinsurance market with short sale constraints. It establishes that, equilibrium, there exists an equivalent probability measure under which the reinsurance premium is the compensator of the jump process describing the...