We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

parameterizations much closer to 1/2 than to 0. Previous studies have argued that granting insurers market power may incentivize them to …

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and … insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

This paper empirically analyzes moral hazard in car insurance using a dynamic theory of an insuree's dynamic risk (ex …

worker buys an insurance, which gives a constant income and retirement benefits in exchange for the total output. The level …

participants put their own money at risk in a real investment task. Moreover,emotions were explicitly measured, including … timing of the resolution of risk onpeople's willingness to take risks, with a special focus on the role of affect. While the … risk attitudes weremeasured through a web-based questionnaire before the experiment and participants' preferencesfor …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security … markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are … studied undervarious market conditions. Among the main results area unique dichotomous pricing model,unifying and generalizing …