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Information Theoretic Optimality of Observation driven Time Series Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014

We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a device to update parameters in observation driven time-varying parameter models. The results provide a new theoretical justification for the class of generalized autoregressive...

Persistent link: https://www.econbiz.de/10011272597

Adding Risks: Some General Results about Time Diversification

Lam, Kin; Zou, Liang - Tinbergen Instituut - 2000

.Specifically, any investor's maximal expected utility directlyincreases with n, as well as the investor's willingness toallocate more …

Persistent link: https://www.econbiz.de/10011255554

Risk Aversion and the Subjective Time Discount Rate: A Joint Approach

Praag, Bernard M.S. van; Booij, Adam S. - Tinbergen Instituut - 2003

This discussion paper led to a publication in the <A HREF="http://www.sciencedirect.com/science/article/pii/S0167268109000109">'Journal of Economic Behavior & Organization'</A>, 2009, 70(1-2), 374-388.<P> In this paper we analyze a large sample of individual responses to six lottery questions. Wederive a simultaneous estimate of risk aversion γ and the time preference discount...</p></a>

Persistent link: https://www.econbiz.de/10011255702

Expected Utility and Catastrophic Risk

Ikefuji, Masako; Laeven, Roger; Magnus, Jan; Muris, Chris - Tinbergen Instituut - 2014

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive … necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure … that expected (marginal) utility remains finite also under heavy-tailed distributional assumptions. Our results are context …

Persistent link: https://www.econbiz.de/10011261938

Loss Modification Incentives for Insurers under Expected Utility and Loss Aversion

Soetevent, Adriaan R.; Zhou, Liting - Tinbergen Instituut - 2014

expected profit maximizing loss probability within an expected utility framework. We then use Köszegi and Rabin's (2006, 2007 …Given the possibility to modify the probability of a loss, will a profit-maximizing insurer engage in loss prevention … or is it in his interest to increase the loss probability? This paper investigates this question. First, we calculate the …

Persistent link: https://www.econbiz.de/10011256470

Valuation of Travel Time and TravelIer Information

Rietveld, Piet - Tinbergen Instituut - 2003

The value of travel time plays an important role in cost benefit analysis of infrastructureprojects. However, the issue of uncertainty on travel times and the implications this has forestimations of travel time values has received much less attention in the literature. In thispaper we compare...

Persistent link: https://www.econbiz.de/10011257109

What is the Value of Entrepreneurship? A Review of Recent Research

Praag, C. Mirjam van; Versloot, Peter H. - Tinbergen Instituut - 2007

group’? A fourth type of contribution studied is the role of entrepreneurship in increasing individuals’ utility levels …

Persistent link: https://www.econbiz.de/10011257287

A Multi-Actor Multi-Criteria Analysis of the Performance of Global Cities

Kourtit, Karima; Macharis, Cathy; Nijkamp, Peter - Tinbergen Instituut - 2013

extensive database on many important characteristics of global cities, this paper offers a multi-criteria methodology for … MAMCA and PROMETHEE multi-criteria methodology, which have proven their analytical power in various mu lti …

Persistent link: https://www.econbiz.de/10011261922