EconStor Collection:
http://hdl.handle.net/10419/293
Tue, 30 Aug 2016 15:05:42 GMT2016-08-30T15:05:42ZAn ANC payoff function for networks with sequentially Nash coherent plans
http://hdl.handle.net/10419/58353
Title: An ANC payoff function for networks with sequentially Nash coherent plans
Authors: Nieva, Ricardo
Abstract: I add endogenous bargaining possibilities do develop criteria to determine which statements are credible in a three-player model with complete information where pairs, in a sequential order, can formulate simultaneous negotiation statements. Joint plans are credible if they are the outcome of a plan Nash bargaining problem - the pair bargains cooperatively over the equilibrium payoffs induced by tenable and reliable plans - unless one or both bargainers are indifferent to bargaining. Then, a credible plan is up to the future-request by the oldest pair (of friends) among the past pairs that successfully cooperated and included one of the indifferent players. I interpret this model as an almost non cooperative (ANC) modification of the three-player Aumann-Myerson (1988) sequential network formation game. Whenever discussing a link two players can bargain non cooperatively out of the sum of their Myerson values (1977) in the prospective network and enunciate simultaneous negotiation statements. The disagreement plan suggests link rejection. Sequentially Nash (1950) coherent plans can be defined and exist. Analytical payoffs are unique. In strictly superadditive cooperative games the complete graph never forms.Sat, 01 Jan 2005 00:00:00 GMThttp://hdl.handle.net/10419/583532005-01-01T00:00:00ZA theory of demand for gambles
http://hdl.handle.net/10419/58354
Title: A theory of demand for gambles
Authors: Nyman, John A.
Abstract: Although gambling is primarily an economic activity, no single theory of the demand for gambles has gained wide-spread acceptance among economists. This paper proposes a simple model of the demand for gambling that is based on the standard economic assumptions that (1) resources are scarce and (2) consumers utility increases with income at a decreasing rate. This model has the advantages that (1) it is based solely on changes in income, (2) is potentially applicable to most consumers, (3) preserves the assumption of diminishing marginal utility of income, (4) is consistent with the insurance-buying gambler, and (5) has intuitive appeal.Thu, 01 Jan 2004 00:00:00 GMThttp://hdl.handle.net/10419/583542004-01-01T00:00:00ZConsumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty
http://hdl.handle.net/10419/23495
Title: Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty
Authors: Kusuda, Koji
Abstract: In Kusuda [45], we developed equilibrium analysis in security market
economy with jump-Wiener information where no finite number of securities can
complete markets. Assuming approximately complete markets (Björk et al. [11] [12])
in which a continuum of bonds are traded and any contingent claim can be replicated
with an arbitrary precision, we have shown sufficient conditions for the existence
of approximate security market equilibrium, in which every agent is allowed
to choose any consumption plan that can be supported with any prescribed precision.
In this paper, we derive the Consumption-Based Capital Asset Pricing Model
(CCAPM) using the framework in case of heterogeneous with additively separable
utilities (ASUs) and of homogeneous agents with a common stochastic differential
utility (SDU). The CCAPM says that the risk premium between a risky security
and the nominal-risk-free security can be decomposed into two groups of terms.
One is related to the price
uctuation of the risky security, and the other is related
to that of commodity. Each group can be further decomposed into two terms related
to consumption volatility and consumption jump in case of ASUs, and into
three terms related to consumption volatility, continuation utility volatility, and
jumps of consumption and continuation utility in case of SDU. Next, we present a
general equilibrium framework of jump-diffusion option pricing models in each case
of heterogeneous agents with CRRA utilities and of homogeneous agents with a
common Kreps-Porteus utility. Finally, we construct a general equilibrium version
of an affine jump-diffusion model with jump-diffusion volatility for option pricing
using the framework.Wed, 01 Jan 2003 00:00:00 GMThttp://hdl.handle.net/10419/234952003-01-01T00:00:00ZHealth Insurance Theory: The Case of the Vanishing Welfare Gain
http://hdl.handle.net/10419/23497
Title: Health Insurance Theory: The Case of the Vanishing Welfare Gain
Authors: Nyman, John A.
Abstract: This paper presents theory that an important source of value is missing from conventional
theory of the demand for health insurance, namely, the effect of the transfer of income (from
those who purchase insurance and remain healthy to those who purchase insurance and become
ill) on purchases of medical care. Because the portion of moral hazard that is attributable to
income is welfare increasing and would replace some of moral hazard that is spuriously deemed
to be welfare decreasing, the new theory suggests that the value of health insurance has been
dramatically undervalued. Implications for policy are outlined.Wed, 01 Jan 2003 00:00:00 GMThttp://hdl.handle.net/10419/234972003-01-01T00:00:00Z