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A Reconsideration of Arrow-Lind : Risk Aversion, Risk Sharing, and Agent Choice

Fesselmeyer, Eric - 2013

We consider the original Arrow-Lind framework in which a government undertakes a risky project to be shared among many taxpayers. In our model, the taxpayers decide the level of participation in the risky project. Moreover, the amount of taxes collected by the government fully finances the...

Persistent link: https://www.econbiz.de/10013091829

A Reconsideration of Arrow-Lind : Risk Aversion, Risk Sharing, and Agent Choice

Fesselmeyer, Eric - 2014

Persistent link: https://www.econbiz.de/10013060166

First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification

Dionne, Georges - 2011

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...

Persistent link: https://www.econbiz.de/10013127810

Prudence and prevention : empirical evidence

Mayrhofer, Thomas; Schmitz, Hendrik - 2020

) depend not only on the level of (second-order) risk aversion but also on higher-order risk preferences such as prudence … prevention in the sense of self-insurance (i.e. secondary prevention). Neither risk aversion nor prudence is related to cancer …, wie zum Beispiel Vorsicht (prudence, Risikoaversion dritter Ordnung). Wir untersuchen empirisch, ob diese theoretischen …

Persistent link: https://www.econbiz.de/10012270623

Expected Utility and Catastrophic Risk

Ikefuji, Masako; Laeven, Roger; Magnus, Jan; Muris, Chris - 2014

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure that expected (marginal) utility remains finite also...

Persistent link: https://www.econbiz.de/10010491362

Expected Utility and Catastrophic Risk

Ikefuji, Masako; Laeven, Roger; Magnus, Jan; Muris, Chris - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011261938

Nonparametric Tests Dependence For Positive Quadrant

DENUIT, Michel; SCAILLET, Olivier - Swiss Finance Institute - 2002

We consider distributional free inference to test for positive quadrant dependence, i.e.for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent. Tests for its generalisation in higher dimensions, namely positive...

Persistent link: https://www.econbiz.de/10005771788

Testing for Concordance Ordering

CEBRIÁN, Ana C.; DENUIT, Michel; SCAILLET, Olivier - Swiss Finance Institute - 2002

We propose inference tools to analyse the ordering of concordance of random vectors. The analysis in the bivariate case relies on tests for upper and lower quadrant dominance of the true distribution by a parametric or semiparametric model, i.e. for a parametric or semiparametric model to give a...

Persistent link: https://www.econbiz.de/10005771834

Nonparametric Estimation of Conditional Expected Shortfall

SCAILLET, Olivier - Swiss Finance Institute - 2004

We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of conditional expected shortfalls in the context of a stationary...

Persistent link: https://www.econbiz.de/10005248410

On Risk - Building a Definition

Lemos, Filipe - 2016

This article aims to build through the collection of inputs from prior research, regulatory input and practitioner's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept: (1) risk is the potential that events may have an...

Persistent link: https://www.econbiz.de/10012998705