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Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper

Brandtner, Mario; Kürsten, Wolfgang - 2014

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …

Persistent link: https://www.econbiz.de/10010491150

The Foster-Hart measure of riskiness for general gambles : conference paper

Riedel, Frank; Hellmann, Tobias - 2013

riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

Persistent link: https://www.econbiz.de/10010342818

Optimization in the energy industry : [symposium with the title "Stochastic Optimization in the Energy Industry"]

Kallrath, Josef (ed.) - 2009

Persistent link: https://www.econbiz.de/10008936759

Subjective life expectancy and private pensions : conference paper

Bucher-Koenen, Tabea; Kluth, Sebastian - 2013

One important parameter in the decision process when buying a private annuity is individuals' subjective life expectancy, because it directly infuences the expected rate of return. We examine the market for private annuities in Germany and evaluate potential selection effects based on subjective...

Persistent link: https://www.econbiz.de/10010340956