Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model"

Ghossoub, Mario (2010): Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model".

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
• 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

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