Identifying Preferences under Risk from Discrete Choices By Pierre-André Chiappori, Amit Gandhi, Bernard Salanié,

When studying consumption choices, econo-mists have often relied on the abstraction of a representative agent. Such an agent can indeed be shown to exist and to replicate the aggre-gate consumers ’ demand, but only under very strong (and actually quite unrealistic) assump-tions (Alan P. Kirman 1992). There was also a justifiable reluctance to introduce heterogeneous preferences, as such a step might seem ad hoc when trying to explain different consumption behaviors. The rise of empirical studies based on microdata has opened new perspectives. The microeconomic importance of uninsurable risks is now recognized, and threatens the foun-dations of the representative agent hypothesis often used in macroeconomics. The continuing controversies surrounding the question of indi-vidual attitudes toward risk have motivated many empirical studies and observations; most of them find a bewildering diversity of individual prefer