The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous … outcomes experienced during the game. Risk aversion decreases after earlier expectations have been shattered by unfavorable … outcomes or surpassed by favorable outcomes. Our results point to reference-dependent choice theories such as prospect theory …

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 …

variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

-down" model of executive optimization. Others, like salience theory, assume a "bottom-up" influence where attention is driven by … aversion. We discuss the insights regarding the nature of attention and its role in economic theory. …