framework demonstrates that incorporating descriptively-valid theories of risk in a principal-agent setting leads to incentive …

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 …

Neumann-Morgenstern expected utility functions using cooperative game theory. The social network literature studies various … measures can be supported as von Neumann-Morgenstern expected utility functions, reflecting preferences over different network … ordinary risk . We show that this leads to a class of centrality measures that is fully determined by the degrees (i.e. the …

analyze the effect of risk aversion, ambiguity aversion and the elasticity of intertemporal substitution on the willingness to … pay to avoid climate change risk. The first part of the paper analyzes a general disaster (jump) risk model with a … constant arrival rate of disasters. This provides useful intuition in how preferences influence valuation of long-term risk …

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 …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …

expected profit maximizing loss probability within an expected utility framework. We then use Köszegi and Rabin's (2006, 2007 …

utility. Using the fact that networks form a special class of cooperative TU-games, we provide a foundation for the degree … measure as a von Neumann-Morgenstern expected utility function reflecting preferences over being in different positions in … links with its neighbours. A crucial property of a preference relation over network positions is neutrality to ordinary risk …

From the viewpoint of the independence axiom of expected utility theory, an interesting empirical dynamic choice … problem involves the presence of a “global risk,” that is, a chance of losing everything whichever safe or risky option is … variable is the particular decision stage at which a global risk is resolved: (i) before the investment decision; (ii) after …