Insurance demand and first-order risk increases under (μ,σ)-preferences revisited

In the mean–variance framework, insurance demand goes down when the expected size of insurable losses decreases or insurance premia increase if the elasticity of risk aversion with respect to expected wealth exceeds -1. In terms of the expected-utility approach, this condition is equivalent to the index of partial relative risk aversion being lower than one.

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Year of publication:	2014
Authors:	Eichner, Thomas ; Wagener, Andreas
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 4, p. 326-331
Publisher:	Elsevier
Subject:	Mean–variance preferences \| Insurance demand \| Relative risk aversion \| Elasticity of risk aversion

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Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G22 - Insurance; Insurance Companies ; D11 - Consumer Economics: Theory ; D14 - Personal Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011118177