This paper takes an additional step toward analyzing the demand for insurance in the context of a portfolio model. An investor is endowed with a portfolio containing a risky and riskless asset that can be augmented by purchasing insurance. Here, insurance is paid for by reducing the quantity of...

Researchers often assume that preferences over uncertain consumption streams are representable bywhere , is (random) period t consumption. It is moreover often asserted that estimates of γ cannot be unambiguously interpreted, since the quantity 1 - γ measures both relative risk aversion and...

This paper identifies comparative statics results for insurance contracts that distinguish between various models of decision making under risk—specifically, expected utility, rank-dependent expected utility, and weighted utility. Insurance contracts offer full coverage above a deductible....