The Value of Risk Reduction for Mixed Risk Seekers/Averters Under Increasing Severity of Loss

We show that the value of risk reduction changes rapidly when loss is high, due to interactions between skewness of wealth () and kurtosis risk aversion (K(x¯)), increasing ambiguity in model predictions. However, when the initial probability of loss (p) <<< and K(x¯) <(>), risk seeking (risk averse), imprudent (prudent), and intemperate (temperate) agents choose a lower (higher) willingness to pay than second or third degree risk-neutral agent

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Year of publication:	2022
Authors:	Awondo, Sebastain
Publisher:	[S.l.] : SSRN
Subject:	Risiko \| Risk \| Theorie \| Theory \| Risikomaß \| Risk measure \| Risikomanagement \| Risk management \| Portfolio-Management \| Portfolio selection \| Verlust \| Loss

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4250853 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014236355