An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive … necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure … that expected (marginal) utility remains finite also under heavy-tailed distributional assumptions. Our results are context …

function of the group.s wealth level, or equivalently, that the representative agent has a state-dependent utility function. We … degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

We introduce range and sign dependent utility, an integrative behavioral model for uncertain cash flows. For gambles … played today, the model can be seen as an extension of original prospect theory based on range, rather than rank. For single …, a s-shaped range distortion function, and a subjective survival function for time. Range and sign dependent utility …

including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … sensitivity analysis framework suitable for risk models. …