Ghossoub, Mario (2010): Supplement to "Belief heterogeneity in the ArrowBorchRaviv insurance model".

PDF
MPRA_paper_37717.pdf Download (273kB)  Preview 
Abstract
This paper is a supplement to Ghossoub [11]. In this supplement, some of the results of Ghossoub [11], as well as the techniques used to obtain these result are extended to a more general problem of demand for contingent claims with belief heterogeneity. Moreover, a general problem of monotone comparative statics under heterogeneous uncertainty is examined, and I show how the idea of vigilance can be used to obtain a monotone comparative statics result in this case.
Item Type:  MPRA Paper 

Original Title:  Supplement to "Belief heterogeneity in the ArrowBorchRaviv insurance model" 
Language:  English 
Keywords:  Subjective Probability, Heterogeneous Beliefs, Vigilance, Contingent Claims, Monotone Likelihood Ratio, Monotone Comparative Statics 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D86  Economics of Contract: Theory G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65  Miscellaneous Mathematical Tools C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods 
Item ID:  37717 
Depositing User:  Mario Ghossoub 
Date Deposited:  28. Mar 2012 16:53 
Last Modified:  23. Jun 2015 18:43 
References:  [1] C.D. Aliprantis and K.C. Border. Infinite Dimensional Analysis  3rd edition. SpringerVerlag, 2006 [2] K.J. Arrow. Essays in the Theory of RiskBearing. Chicago: Markham Publishing Company, 1971 [3] S. Athey. Characterizing Properties of Stochastic Objective Functions. mimeo (1999) [4] S. Athey. Comparative Statics under Uncertainty: Single Crossing Properties and LogSupermodularity. mimeo (1996) [5] S. Athey. Monotone Comparative Statics under Uncertainty. Quarterly Journal of Economics, 117(1):187–223, 2002 [6] K.H. Borch. The Mathematical Theory of Insurance: An Annotated Selection of Papers on Insurance Published 19601972. Lexington Books, 1974 [7] N.L. Carothers. Real Analysis. Cambridge University Press, 2000 [8] A. Chateauneuf, F. Maccheroni, M. Marinacci, and J.M. Tallon. Monotone Continuous Multiple Priors. Economic Theory, 26(4):973–982, 2005 [9] D.L. Cohn. Measure Theory. Birkhauser, 1980 [10] D. Gale and M. Hellwig. IncentiveCompatible Debt Contracts: The OnePeriod Problem. The Review of Economic Studies, 52(4):647–663, 1985 [11] M. Ghossoub. Belief Heterogeneity in the ArrowBorchRaviv Insurance Model. mimeo (2011) [12] S.J. Grossman and O.D. Hart. An Analysis of the PrincipalAgent Problem. Econometrica, 51(1):7–45, 1983 [13] B. Holmstrom. Moral Hazard and Observability. The Bell Journal of Economics, 10(1):74–91, 1979 [14] M. Marinacci and L. Montrucchio. Introduction to the Mathematics of Ambiguity. In I. Gilboa (ed.), Uncertainty in Economic Theory. Routledge, London, 2004 [15] P. Milgrom and J. Roberts. The Economics of Modern Manufacturing: Technology, Strategy, and Organization. The American Economic Review, 80(3):511–528, 1990 [16] P. Milgrom and C. Shannon. Monotone Comparative Statics. Econometrica, 62(1):157–180, 1994 [17] J.A. Mirrlees. The Theory of Moral Hazard and Unobservable Behaviour: Part I. Review of Economic Studies, 66(1):3–21, 1999 [18] F.H. Page. The Existence of Optimal Contracts in the PrincipalAgent model. Journal of Mathematical Economics, 16(2):157–167, 1987 [19] E. Pap. NullAdditive Set Functions. Kluwer Academic Publishers, 1995 [20] A. Raviv. The Design of an Optimal Insurance Policy. The American Economic Review, 69(1):84–96, 1979 [21] W.P. Rogerson. The FirstOrder Approach to PrincipalAgent Problems. Econometrica, 53(6):1357–1367, 1985 [22] D.M. Topkis. Minimizing a Submodular Function on a Lattice. Operations Research, 26(2):305–321, 1978 [23] D.M. Topkis. Supermodularity and Complementarity. Princeton University Press, 1998 [24] R. Townsend. Optimal Contracts and Competitive Markets with Costly State Verification. Journal of Economic Theory, 21(2):265–293, 1979 [25] C. Villegas. On Qualitative Probability $\sigma$Algebras. The Annals of Mathematical Statistics, 35(4):1787–1796, 1964 [26] X. Vives. Oligopoly Pricing: Old Ideas and New Tools. MIT Press, 2001 [27] S.D. Williamson. Costly Monitoring, Financial Intermediation, and Equilibrium Credit Rationing. Journal of Monetary Economics, 18(2):159–179, 1986 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/37717 