Sharing beliefs and the absence of betting in the Choquet expected utility model

Choquet expected utility maximizers tend to behave in a more "cautious" way than Bayesian agents, i.e. expected utility maximizers. We illustrate this phenomenon in the particular case of betting behavior. Specifically, consider agents who are Choquet expected utility maximizers. Then, if the economy is large, Pareto optimal allocations provide full insurance if and only if the agents share at least one prior, i.e., if the intersection of the core of the capacities representing their beliefs is non empty. In the expected utility case, this is true only if they have a common prior.