This paper develops a utility model for evaluating lotteries. In estimating utility, risk averse people use an … researchers to directly specify their attitudes toward risk. …

This paper develops a utility model for evaluating lotteries. In estimating utility, risk averse people use an … model allows researchers to directly specify their attitudes toward risk. The model is advantageous for two reasons. First …

Institutions can affect individual behavior both via their efficiency impact and via their risk reducing mechanisms … simultaneously extant institutions. This paper presents a simple model of institutional choice in a labor market when there is a risk …-sectional survey data from China, we find that risk and risk aversion are strongly related to the choice of a labor market institution …

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and … optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality … and duality theory for problems involving risk functions. …

demonstrated. The notions of weak convexity and convexity are then applied to risk measurement, leading to a more general … definition of convex risk measure than the one already known in risk measurement literature. …

In this paper we consider the problem of determining approximations for distortion risk measures of sums of non …-independent random variables. First, we give an overview of the recent actuarial literature on distortion risk measures and convex bounds … bounds for risk measures of sums of risks are presented in the case of concave distortion functions. The result is then …

The properties of risk measures or insurance premium principles have been extensively studied in actuarial literature …. We propose an axiomatic description of a particular class of coherent risk measures defined in Artzner, Delbaen, Eber …, and Heath (1999). The considered risk measures are obtained by expansion of TVar measures, consequently they look like …

We consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of … optimality for these problems, and we discuss the nature of the nonanticipativity constraints. Next, we introdice dynamic risk … equations are developed. The theoretical considerations are illustrated with many examples of mean-risk models applied in …

at Risk and coherent risk measures, as suggested by Artzner et al. (1997). …