subtle incentive distortion. In some cases, local risk aversion is induced which discourages the agent from risk taking in … important elements of incentive design to contain the long-term portfolio risk …

We study a robo-advising framework that allows for interactions with a client who has time-varying risk preferences … using an average of measured risk aversions both lead to more personalised investment advice …

Economists conducting normative analyses of household financial decisions typically assume specific values of … parameters of the household utility function. We review 12 normative analyses and discuss justifications for the personal … assumptions about the personal discount rate in normative analyses of household financial decisions …

We present a model for P/L insurance companies based on Asset-Liability-Management (ALM). We show analytically for … multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

for insurance may be decreasing with increasing risk parameter. In the portfolio selection problem, the investment in the …We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … willingness to pay for insurance and portfolio selection, are studied. Within the framework of Arrow and Pratt, we show that the …

that the insurance will actually pay out an indemnity in case of a (valid) claim. The effects of risk aversion and …. Despite a large private expenditure share, demand for private LTC insurance is low (< 20%). This pre-registered study … investigates to what extent attitudes toward uncertainty (risk and ambiguity) and time preferences (impatience) can explain the low …

coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

Should you buy a stock or a corporate bond? A common belief is that the Pratt-Arrow risk aversion measure gives the … answer: a more risk averse investor will prefer more a corporate bond to a stock. However, this is not always true. In a … simple portfolio problem with a riskless bond, a stock and a corporate bond from a firm, we show that, it is not the risk …

's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is … analytical results that show how the sparsity of the constrained portfolio depends on the coefficient of relative risk aversion …>-norm for each level of relative risk aversion …