We use data on households' deductible choices in auto and home insurance to estimate a structural model of risky choice … that incorporates "standard" risk aversion (concave utility over final wealth), loss aversion, and nonlinear probability …. More specifically, we find that standard risk aversion is small, loss aversion is nonexistent, and nonlinear probability …

We use data on insurance deductible choices to estimate a structural model of risky choice that incorporates "standard …" risk aversion (diminishing marginal utility for wealth) and probability distortions. We find that probability distortions … important role in explaining the aversion to risk manifested in deductible choices. This finding is robust to allowing for …

We use data on insurance deductible choices to estimate a structural model of risky choice that incorporates 'standard …' risk aversion (diminishing marginal utility for wealth) and probability distortions. We find that probability distortions … important role in explaining the aversion to risk manifested in deductible choices. This finding is robust to allowing for …

We use data on insurance deductible choices to estimate a structural model of risky choice that incorporates "standard …" risk aversion (diminishing marginal utility for wealth) and probability distortions. We find that probability distortions … important role in explaining the aversion to risk manifested in deductible choices. This finding is robust to allowing for …

equation we model the bank's decision to grant a loan, in the second the probability of default. We confirm that banks provide … loans in a way that is not consistent with default risk minimization. The lending policy must thus either be inefficient or … be the result of some other type of optimizing behavior than expected profit maximization. Value at Risk, being a value …

To evaluate loan applicants, banks increasingly use credit scoring models. The objective of such models typically is to … multiperiod contracts for which reason it is important for banks not only to know if but also when a loan will default. In this …: loans are granted in a way that conflicts with both default risk minimization and survival time maximization. There is thus …

This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm …-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types … to both total risk and systematic risk; in addition, size is positively related to systematic risk. Profitability and …

from underwriting insurance policies affects insurers' risk taking behavior in their portfolio investments. We find that …This study empirically examines, in the setting of insurance companies, the hypothesis that investors facing more … operating risk may behave as if they were more risk averse in investment decisions. Specifically, we study how operating risk …

We analyze the stability of efficiency rankings of German universal banks between 1993 and 2004. First, we estimate … different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is …