Most decisions concerning (self-)insurance and self-protection have to be taken in situations in which a) the effort … under which ambiguity aversion raises the demand for (self-)insurance and self-protection. In particular, it is shown that …

This paper analyzes optimal risk sharing among agents that are endowed with either expected utility preferences or with … dual utility preferences. We find that Pareto optimal risk redistributions and the competitive equilibria can be obtained … agent of dual utility maximizers. The representative agent of expected utility maximizers resembles an average risk …

Although the link between risk aversion and diminishing marginal utility of wealth is academically well established …

proportional reinsurance and investment strategy of an insurance company investing into multiple risky assets to minimize its ruin …In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance … this company and assume that the company invests its surplus into a riskless and multiple risk assets that are modeled as …

parameterizations much closer to 1/2 than to 0. Previous studies have argued that granting insurers market power may incentivize them to …

of insurance. Third, we help answer the puzzle why the most risk averse are least likely to take up agricultural …We employ a novel approach to investigate the reasons for a low demand for agricultural insurance. We confirm that … farmers systematically undervalue agricultural insurance. First, we find that private transfers, mainly from family members …

and on the literature of imperfectly divisible consumption to argue that the general purpose of insurance is not a risk … transfer, but meeting a conditional need. In this way, insurance aligns the risk in one's ftnancial endowment with the risk in …I revisit the question of which motive underlies insurance demand. I draw on the literature of state-dependent utility …

an optimal investment strategy. Furthermore, we assume that the agent is concerned about model misspecification. This … robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

an optimal investment strategy. Furthermore, we assume that the agent is concerned about model misspecification. This … robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

-based industries such as finance, insurance and gambling. We sketch an alternative approach to modeling risky choice that focuses on …Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or … useful for out-of-sample prediction. Nor do we find practical applications of Bernoulli functions in major risk …