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Vulnerability in a stochastic dynamic model

Elbers, Chris; Gunning, Jan Willem - 2003 - Rev.

Most measures of vulnerability are a-theoretic and essentially static. In this paper we use a stochastic Ramsey model to find a household's optimal welfare and we measure vulnerability as the shortfall from the welfare attained if the household consumed permanently at the poverty line. The...

Persistent link: https://www.econbiz.de/10011334363

On measuring uncertainty : snakes and ladders

Junankar, Pramod N. - 2016

surge in the stock market would be self-correcting. Recent papers have discussed the role of "uncertainty" and its … measurement in influencing economic decisions. They attempt to measure uncertainty by indexes of volatility of the stock market …, GDP, forecaster disagreement, mentions of uncertainty in news media, and the dispersion of productivity shocks to firms …

Persistent link: https://www.econbiz.de/10011543578

Measuring and assessing the effects of climate policy uncertainty

Berestycki, Clara - 2022

This study proposes a new indicator of Climate Policy Uncertainty based on newspaper coverage frequency. The indicator … empirical analysis shows that Climate Policy Uncertainty is associated with economically and statistically significant decreases … levels, and develops sub-indices that capture the direction of climate policy uncertainty associated with a strengthening or …

Persistent link: https://www.econbiz.de/10013376912

Cash sub-additive risk measures and interest rate ambiguity

El Karoui, Nicole; Ravanelli, Claudia - 2008

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...

Persistent link: https://www.econbiz.de/10003961489

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10011334834

Measuring risk aversion and the wealth effect

Heinemann, Frank - 2005

Measuring risk aversion is sensitive to assumptions about the wealth in subjects' utility functions. Data from the same subjects in low- and high-stake lottery decisions allow estimating the wealth in a pre-specified one-parameter utility function simultaneously with risk aversion. This paper...

Persistent link: https://www.econbiz.de/10010374868

Estimating risky behavior with multiple-item risk measures : an empirical examination

Menkhoff, Lukas; Sakha, Sahra - 2016

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is heterogeneous and, therefore, difficult to assess ex...

Persistent link: https://www.econbiz.de/10011539235

Multiple-item risk measures

Menkhoff, Lukas; Sakha, Sahra - 2014

We compare seven established risk elicitation methods and investigate how they explain an extensive set of risky behavior from a large household survey. We find overall positive correlation between items and low explanatory power in terms of behavior. Using an average of seven risk elicitation...

Persistent link: https://www.econbiz.de/10010461230

Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper

Brandtner, Mario; Kürsten, Wolfgang - 2014

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on the one hand, and Ross (1981) on the other hand. The implications for two standard financial decision problems, namely the willingness to pay for insurance and portfolio...

Persistent link: https://www.econbiz.de/10010491150

A dynamic extension of the Foster-Hart measure of riskiness

Hellmann, Tobias; Riedel, Frank - 2014

Persistent link: https://www.econbiz.de/10010411555

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