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CHANDER, Parkash - Center for Operations Research and Econometrics (CORE), … - 2005

This paper introduces and investigates the concept of repetitive risk aversion. The risk aversion of an increasing and … also increasing and concave. This is shown to be equivalent to the behaviorally meaningful condition that the risk premium … is increasing at a non-increasing rate with the size of the bet. We find an additional justification for mixed risk …

Persistent link: https://www.econbiz.de/10005008372

Social rationality, separability, and equity under uncertainty

FLEURBAEY, Marc; GAJDOS, Thibault; ZUBER, Stéphane - Center for Operations Research and Econometrics (CORE), … - 2010

Harsanyi (1955) proved that, in the context of uncertainty, social ratio- nality and the Pareto principle impose severe constraints on the degree of priority for the worst-off that can be adopted in the social evaluation. Since then, the literature has hesitated between an ex ante approach that...

Persistent link: https://www.econbiz.de/10008642214

Inequality aversion and separability in social risk evaluation

FLEURBAEY, Marc; ZUBER, Stéphane - Center for Operations Research and Econometrics (CORE), … - 2011

This paper examines how to satisfy a separability condition related to “independence of the utilities of the dead” (Blackorby et al., 1995; Bommier and Zuber, 2008) in the class of “expected equally distributed equivalent” social orderings (Fleurbaey, 2010). It also inquires into the...

Persistent link: https://www.econbiz.de/10010610452

Multivariate concave and convex stochastic dominance

DENUIT, Michel; EECKHOUDT, Louis; TSETLIN, Ilia; … - Center for Operations Research and Econometrics (CORE), … - 2010

the stochastic order typically used in the univariate case. These utility functions are multivariate risk averse, and … risk seeking. We provide insight into these two contrasting forms of stochastic dominance, develop some criteria to compare …

Persistent link: https://www.econbiz.de/10008836130

ANTICIPATION AND THE AGGREGATION OF SECTOR-SPECIFIC RISKS.

DONALDSON, J.; DUTTA, J. - Center for Operations Research and Econometrics (CORE), … - 1989

Persistent link: https://www.econbiz.de/10005779463

Second-Best Insurance Contract Design in an Incomplete Market.

Gollier, C.; Schlesinger, H. - Center for Operations Research and Econometrics (CORE), … - 1992

Persistent link: https://www.econbiz.de/10005779480

Competing Risk Models: Problems of Modelling and of Identification.

Mouchart, M.; Rolin, J.M. - Center for Operations Research and Econometrics (CORE), … - 1995

Persistent link: https://www.econbiz.de/10005779481

Choquet Rationality.

Ghirardato, P.; Le Breton, M. - Center for Operations Research and Econometrics (CORE), … - 1999

This paper provides a characterization of the consequences of the assumption that a decision maker with a given utility function is Choquet rational: She maximizes expected utility, but possibly with respect to non-additive beliefs, so that her preferences are represented by Choquet expected...

Persistent link: https://www.econbiz.de/10005478939

THE ROLE OF SECURITIES AND LABOUR CONTRACTS IN THE OPTIMAL ALLOCATION OF RISK-BEARING.

DREZE, J.H.L - Center for Operations Research and Econometrics (CORE), … - 1989

Persistent link: https://www.econbiz.de/10005478940

A note on portfolio selection by insurance companies and optimal participating insurance policies.

Gollier, C.; Wibaut, S. - Center for Operations Research and Econometrics (CORE), … - 1991

Persistent link: https://www.econbiz.de/10005478946