Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...

Securitization is one of the most important innovations in financial markets. It is a process of converting illiquid loans that cannot be sold readily to third-party investors into liquid securities and selling them to dispersed investors. As a result, securitization improves liquidity in...

This paper studies comparative risk aversion between risk averse agents in the presence of a background risk. Although the literature covers this question extensively, our contribution differs from most of the literature in two respects. First, background risk does not need to be additive or...

The study of risk management began after World War II. Risk management has long been associated with the use of market insurance to protect individuals and companies from various losses associated with accidents. Other forms of risk management, alternatives to market insurance, surfaced during...

The ability and willingness of health care workers to report for work during a pandemic are essential to pandemic response. The main contribution of this article is to examine the relationship between risk perception of personal and work activities and willingness to report for work during an...

L’étude de la gestion des risques a débuté après la Deuxième Guerre mondiale. La gestion des risques a pendant longtemps été associée à l’utilisation de l’assurance de marché pour protéger les individus et les entreprises contre différentes pertes associées à des accidents....

Road safety policies and automobile insurance contracts often use incentive mechanisms based on traffic violations and accidents to promote safe driving. Can these mechanisms improve road safety efficiently? Do they reduce asymmetric information between drivers and insurers and regulators? In...

We re-examine the link between absolute prudence and self-protection activities. We show that the level of effort chosen by an agent with decreasing absolute prudence is larger than the optimal effort chosen by a risk-neutral agent if the degree of absolute prudence is less than a threshold that...

In this survey we present some of the more significant results in the literature on adverse selection in insurance markets. Sections 1 and 2 introduce the subject and Section 3 discusses the monopoly model developed by Stiglitz (1977) for the case of single-period contracts extended by many...

This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a substantial missprcing of publicly traded real estate assets (REITs). The...