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Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - In: Journal of Economic Theory 148 (2013) 3, pp. 1255-1267

multivariate prudence, related to a precautionary premium, and we propose a matrix-measure to capture the strength of the … across outcomes of multivariate lotteries. We show the link between this notion and the notion of multivariate prudence, we …

Persistent link: https://www.econbiz.de/10010665753

Do risk lovers invest in self-protection?

Jindapon, Paan - In: Economics Letters 121 (2013) 2, pp. 290-293

We show that there is a class of risk lovers who optimally choose a positive level of self-protection investment. In most cases, a risk lover increases his self-protection investment as he becomes less downside risk averse.

Persistent link: https://www.econbiz.de/10010709089

Decreasing Downside Risk Aversion and Background Risk

Crainich, David; Eeckhoudt, Louis; Courtois, Olivier Le - IÉSEG School of Management, Université Catholique de Lille - 2013

To analyze the impact of background risks, decreasing absolute risk aversion (DARA) must be combined with other restrictions on the shape of the utility function in order to make preferences risk vulnerable. In this note, we indicate that risk vulnerability can also be associated with the sole...

Persistent link: https://www.econbiz.de/10010700950