Risk aversion can be defined either by the negative sign of the second derivative of the utility function or by the rejection of any mean-preserving increase in risk. The more recent notions of prudence and temperance have so far been defined exclusively by the sign of the third and the fourth...

Since Fishburn and Porter [1976], it has been known that a first- order dominant shift in the distribution of random returns of an asset does not necessarily induce a risk-averse decision maker to increase his holdings of that improved asset. To obtain the desired comparative statics result, one...

We consider the effects of changes in the distribution of a background risk on the optimal risk taking behaviour of a risk- averse decision maker. In particular, we suppose that the background risk deteriorates via a first- or second-degree stochastic dominance shift. Our contention is that such...

In this paper, we examine second-best efficient allocations of risk when some forms of incompleteness are introduced in risk- sharing contracts. In the first model, there are two independent sources of risk, but risk-sharing contracts can be made contingent to only one of the two sources. We...

In the standard portfolio problem, a shift in the distribution of the risky asset is ``portfolio-dominated'' if it reduces the demand for the risky asset by all risk-averse agents, whatever the riskfree rate. We show that the condition obtained by Landsberger and Meilijson [1993] (while...

We examine in this paper a new natural restriction on utility functions, namely that an undesirable risk can never be made desirable by the presence of an independent, unfair risk. This concept is called weak properness. It generalizes the concept of properness (individually undesirable,...

We analyze in this paper the effect of age on the optimal dynamic strategy towards repeated independent gambles. When deciding to accept or to reject a lottery that is offered today, the gambler knows how many future lotteries can yet be played in the future. We first examine under which...

We examine the optimal risk-taking behaviour of a risk-averse individual under the assumption of a guaranteed floor for wealth (limited liability). We show that the existence of limited liability raises the optimal exposure to risk. Also, there is a positive lower bound to initial wealth...

We consider in this paper the interaction between precautionary savings and insurance demand. Under the standard intertemporal expected utility framework, the effect of an increase in the concavity of the utility function is ambiguous because of the inability of this framework to distinguish...

We consider a monopoly insurance company that is unable to estimate the value of covered assets at the time of underwriting. Only the distribution of the severity of losses is known. Also, an ex-post appraisal of the value of the property can be performed in case of accident. As in most property...