Foncel, Jérôme; Treich, Nicolas - In: Journal of Risk and Uncertainty 31 (2005) 3, pp. 289-300
This paper offers interpretations and applications of the “fear of ruin” coefficient (Aumann and Kurz, 1977, Econometrica). This coefficient is useful for analyzing the behavior of expected utility maximizers when they face binary lotteries with the same worse outcome. Comparative statics...