We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus … share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the …

This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions … investor preferences and attitudes toward risk. We particularly develop CAPM betas for different classes of utility function …: the negative exponential utility function, power utility function or “Constant Relative Risk Aversion (CRRA) Utilities …

more psychological impact on the newsvendor than the gains. In economics and decision theory, the classical newsvendor … models treat losses and gains equally likely, by disregarding the expected utility when the newsvendor is loss …-averse. Moreover, the use of unbounded utility to model risk attitudes fails to explain some decision-making paradoxes. In contrast …

We characterize intertemporal utility functions over heterogeneous goods that feature (i) a constant elasticity of … the goods. We find that a standard (stationary) intertemporal utility function is consistent with these two properties if … elasticities of substitution are identical, or if the instantaneous utility function is Cobb-Douglas. We also characterize the …