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Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting

  • Published:2018-10-01 Issue:3 Volume:29 Page:898-927
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Jin Hanqing1,Xia Jianming2,Zhou Xun Yu3

Affiliation:

1. Mathematical Institute and Oxford-Nie Financial Big Data Lab; The University of Oxford; Oxford UK

2. RCSDS, NCMIS, Academy of Mathematics and Systems Science; Chinese Academy of Sciences; Beijing China

3. Department of Industrial Engineering and Operations Research; Columbia University; New York New York

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference26 articles.

1. Equilibrium in a reinsurance syndicate: Existence, uniquess and characterization;Aase;ASTIN Bulletin,1993

2. Existence and uniquess of equilibrium in a reinsurance syndicate;Aase;ASTIN Bulletin,2010

3. A genuine rank-dependent generalization of the Von Neumann-Morgenstern expected utility theorem;Abdellaoui;Econometrica,2002

4. Existence of an equilibrium for a competitive economy;Arrow;Econometrica,1954

5. Competitive equilibria with distortion risk measures;Boonen;ASTIN Bulletin,2015

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