outcomes experienced during the game. Risk aversion decreases after earlier expectations have been shattered by unfavorable …

match a set of subjective density functions derived from risk-neutral densities, including the CPT with the empirical …

This paper experimentally investigates investment behavior.We find that global risk – i.e. risk independent of an agent …’sinvestment decision (like political risk) – substantiallydecreases investment. Also effort to obtain the capital usedfor investment … orientated theories of decision makingunder risk (e.g. prospect theory or regret theory). We discussthe economic relevance of the …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …