Aggregate risks and insurance with heterogeneous agents
研究了当个体在生产率或初始财富上存在差异时，针对总体风险的保险是否有效，发现异质性导致非对称收入响应时保险才有效，且福利收益随异质性程度增大。
Abstract This paper explores whether insurance against aggregate risk is effective in economies with heterogeneous agents. While aggregate shocks are typically viewed as uninsurable, we show that insurance becomes effective when agents differ in productivity or initial wealth. We develop a two‐period general equilibrium model with a CES production technology and Greenwood–Hercowitz–Huffman preferences. Insurance is effective only when heterogeneity generates asymmetric income responses, in which case state‐contingent claims restore Pareto efficiency. Quantitative results show that welfare gains arise only with heterogeneity and are larger for agents further from the average. Moreover, welfare gains increase with dispersion, while the effect of average exposure is non‐monotonic due to general‐equilibrium price adjustments.