Cooperation Under Ambiguity

  • Sjur Didrik Flåm
Part of the Energy Systems book series (ENERGY)


Exchange of contingent claims is construed here as a cooperative game with transferable utility. Solutions are sought in the core. The novelty is that agents, being uncertainty averse, may use distorted, subjective probabilities. Choquet integrals therefore replace expected utility. When convoluted payoff is concave at the aggregate endowment, there is a price-generated, explicit core solution.


Probability Measure Payoff Function Shadow Price Contingent Claim Shadow Prex 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.



Thanks are due to Finansmarkedsfondet for financial support and a referee for good and generous comments.


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© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of BergenBergenNorway

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