We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an … insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the … initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We also perform some numerical …

This paper studies the relation between concavity, stochastic or state dependent utility functions, and risk aversion …. Using the common definition of risk aversion, but modified for state dependent preferences, we show that concavity does not … imply risk aversion. Instead, it implies a weaker version of risk aversion, defined herein, and called risk aversion for …

Cerreia-Vioglio, Ghirardato, Maccheroni, Marinacci and Siniscalchi (Economic Theory, 48:341-375, 2011) have recently … proposed a very general axiomatisation of preferences in the presence of ambiguity, viz. Monotonic Bernoullian Archimedean (MBA … impossibility results for both finite and infinite populations. Applications for the special case of aggregating expected-utility …

investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá … uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …

behaved consistent with subjective expected utility with Bayesian updating. The majority of ambiguity averse subjects violated …Accounting for ambiguity aversion in dynamic decisions generally implies that either dynamic consistency or … received a signal. We found that most ambiguity neutral subjects satisfied both dynamic consistency and consequentialism and …

We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility … characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome … contains the act. She then (implicitly) ranks an act according to the balancing value at which the expected balanced utility of …

first-order approximated solution built by perturbation methods accounts for risk. We show that risk matters economically in … a real business cycle (RBC) model with habit formation and capital adjustment costs and that neglecting risk leads to …

level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion … lower level of global risk aversion, we can find two utility functions in this class yielding opposite preference relations …In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk …