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Indifference pricing with uncertainty averse preferences

Giammarino, Flavia; Barrieu, Pauline - 2011

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker’s attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...

Persistent link: https://www.econbiz.de/10015233313

Welfare costs of reclassification risk in the health insurance market

Pashchenko, Svetlana; Porapakkarm, Ponpoje - 2011

risk. Reclassification risk arises because the health conditions of individuals evolve over time, while a typical health … insurance premium. We study how costly this reclassification risk is for the welfare of consumers. More specifically, we use a … insurance contracts that can provide protection against reclassification risk even in the absence of consumer commitment or …

Persistent link: https://www.econbiz.de/10015228982

Health insurance reform and bankruptcy

Kuklik, Michal - 2010

Abstract Medical bankruptcy was at the heart of the health care reform debate. According to Himmelstein et al. (2009), 62.1 percent of bankruptcies in the United States in 2007 were due to medical reasons. At the same time over 15 percent of Americans had no health insurance. The 2010 health...

Persistent link: https://www.econbiz.de/10015232330

Welfare costs of reclassification risk in the health insurance market

Pashchenko, Svetlana; Porapakkarm, Ponpoje - 2011

Persistent link: https://www.econbiz.de/10015237644

On the optimal use of put options under trade restrictions

Bell, Peter N - 2014

simulation to compare the optimal quantity when the agent maximizes mean-variance utility or Value at Risk over wealth at option … at risk. The options do not remove all variation in returns but still benefit the agent. …

Persistent link: https://www.econbiz.de/10015246343

The variance-minimizing hedge with put options

Bell, Peter N - 2014

Certain commodity producers face uncertain output and price, but can trade financial derivatives on price. I consider how best to use a put option on price. I introduce the variance surface, which is a data visualization technique that shows the level of variance across a grid of values for the...

Persistent link: https://www.econbiz.de/10015246344

Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Pham, Ngoc-Sang; Le Van, Cuong; Bosi, Stefano - 2018

, we study the effects of financial imperfections on output and land prices. Third, we develop a theory of valuation of …

Persistent link: https://www.econbiz.de/10015259455

General Equilibrium with Endogenous Trading Constraints

Cea-Echenique, Sebastián; Torres-Martínez, Juan Pablo - 2014

We build a general equilibrium model where agents are subject to endogenous trading constraints, making the access to financial trade dependent on prices and consumption decisions. Besides, our framework is compatible with the existence of endogenous financial segmentation and credit markets'...

Persistent link: https://www.econbiz.de/10015242134

The Mean Squared Prediction Error Paradox: A summary

Pincheira, Pablo; Hardy, Nicolas - 2020

This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

Persistent link: https://www.econbiz.de/10015229363

Example of a Rising NPV Profile for a Mining Project

Bell, Peter - 2017

This paper describes a situation where the NPV Profile for a mining project is rising in the initial periods of production. This is an interesting case because mining projects are typically characterized by decreasing NPV Profiles caused by declining reserves and ever-approaching end to mine...

Persistent link: https://www.econbiz.de/10015257452