大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Aggregation of State-Dependent Utilities

原千秋(京都大学経済研究所教授)

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大阪大学 金融・保険セミナーシリーズ 第15回

Aggregation of State-Dependent Utilities

原千秋(京都大学経済研究所教授)

n an exchange economy under uncertainty populated by consumers having state-contingent utility functions, we analyze the nature of the efficient risk-sharing rules and the representative consumer's state-contingent utility function. We show that the representative consumer's responsiveness to state variables will typically depend on aggregate consumption levels even when the individual consumers' responsiveness do not depend on own consumptions. We also find that the heterogeneity in the individual consumers' responsiveness to state variables gives rise to a ''convexifying effect'' on the representative consumer's utility function, in a sense to be made precise. We also present applications of this result to the cases of heterogeneous beliefs and heterogeneous impatience.