In this note we show that the measure of intensity of downside risk aversion proposed recently by Crainich and Eeckhoudt (2007) cannot be guaranteed to exist. We do this by means of an example in which the existence of the measure depends upon the values of the parameters in the problem

This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion as measured by the prudence probability premium. The comparative...

In the standard model for insurance demand, the risk is totally exogenous and the insurance premium is paid for out of riskless wealth. This model yields results that are mostly in contradiction to everyday observation and have been used to question the pertinence of expected utility theory on...