ダウンロード数: 242
タイトル: | Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks |
著者: | Hara, Chiaki Huang, James Kuzmics, Christoph |
キーワード: | Efficient risk-sharing rules relative risk aversion absolute risk tolerance Inada condition idiosyncratic risks background risks incomplete markets |
発行日: | May-2006 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 621 |
抄録: | In an exchange economy in which there is a complete set of markets for macroeconomic risks but no market for idiosyncratic risks, we consider how the efficient risk-sharing rules for the macroeconomic risk are affected by the heterogeneity in the consumers' risk attitudes and idiosyncratic risks. We provide sufficient conditions under which an idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), the determinant of the curvatures of the efficient risk-sharing rules. While the curvature of the risk-sharing rules at high consumption levels are governed by the consumers' risk attitudes, the curvature at low consumption levels depend not only on the risk attitudes but also on the lower tail distributions of the idiosyncratic risks. |
URI: | http://hdl.handle.net/2433/129535 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/621.html |
出現コレクション: | KIER Discussion Paper (英文版) |
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