Search Results - subject:"First-order risk aversion"

Risk aversion loss aversion, and the demand for insurance

Eeckhoudt, Louis; Fiori, Anna Maria; Gianin, Emanuela … - In: Risks 6 (2018) 2, pp. 1-19

losses or gains relative to a reference point. Besides some comparative statics results, we discuss the links with first-order … risk aversion, with the Omega measure, and with a tendency to over-insure modest risks that has been been extensively …

Persistent link: https://www.econbiz.de/10011996618

Risk aversion loss aversion, and the demand for insurance

Eeckhoudt, Louis; Fiori, Anna Maria; Rosazza Gianin, … - In: Risks : open access journal 6 (2018) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10011867426

Confidence band for expectation dependence with applications

Guo, Xu; Li, Jingyuan - In: Insurance / Mathematics & economics 68 (2016), pp. 141-149

Persistent link: https://www.econbiz.de/10011492634

Asset Pricing in a Production Economy with Chew-Dekel Preferences

Campanale, Claudio; Castro, Rui; Clementi, Gian Luca - In: Review of Economic Dynamics 13 (2010) 2, pp. 379-402

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with Chew-Dekel risk preferences and convex capital adjustment costs. When households display levels of disappointment aversion consistent with the experimental...

Persistent link: https://www.econbiz.de/10005009767

Equilibrium Asset Pricing with Time-Varying Pessimism

Sbuelz, A.; Trojani, F. - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011090391

Non-expected Utility, Saving, and Portfolios

Haliassos, Michael; Hassapis, Christis - EconWPA - 1997

Theory of Choice, and (iii) Quiggin's Rank-dependent Utility. Specifications (ii) and (iii) exhibit "first-order" risk … aversion and kinked indifference curves. Solution of such models under multiple sources of risk presents conceptual and …

Persistent link: https://www.econbiz.de/10005126171