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Preserving the Rothschild-Stiglitz type increase in risk with background risk : a characterization

Denuit, Michel; Mesfioui, Mhamed - In: Insurance / Mathematics & economics 72 (2017), pp. 1-5

Persistent link: https://www.econbiz.de/10011691479

Chapter 2. Rationality and Dynamic Consistency Under Risk and Uncertainty

Hammond, Peter J.; Zank, Horst - In: Handbook of the economics of risk and uncertainty : volume 1, (pp. 41-97). 2014

weak preference ordering. For choice under risk (resp. uncertainty), preferences are assumed to be represented by the … objectively (resp. subjectively) expected value of a von Neumann-Morgenstern utility function. For choice under risk, this implies …

Persistent link: https://www.econbiz.de/10014025530

Belief Digitization : Do We Treat Uncertainty as Probabilities or as Bits?

Johnson, Samuel; Merchant, Tom; Keil, Frank - 2018

Humans are often characterized as Bayesian reasoners. Here, we question the core Bayesian assumption that probabilities reflect degrees of belief. Across 10 studies, we find that people instead reason in a digital manner, assuming that uncertain information is either true or false when using...

Persistent link: https://www.econbiz.de/10014033580

Rationality and dynamic consistency under risk and uncertainty

Hammond, Peter J.; Zank, Horst - 2014

Persistent link: https://www.econbiz.de/10010366843

Rationality and dynamic consistency under risk and uncertainty

Hammond, Peter J.; Zank, Horst - 2013

Persistent link: https://www.econbiz.de/10010342733

Generalized almost stochastic dominance

Tsetlin, Ilia; Winkler, Robert L.; Huang, Rachel J.; … - In: Operations research 63 (2015) 2, pp. 363-377

Persistent link: https://www.econbiz.de/10010526703

Formulating a stochastic discounting model with actuarial and risk management applications

Artikis, Constantinos T. - In: Spoudai : journal of economics and business 62 (2012) 3/4, pp. 7-15

Stochastic discounting models are generally recognized as extremely strong analytical tools for a very wide variety of fundamental areas in the actuarial discipline. The paper is mainly devoted to the formulation, investigation and application in the actuarial discipline of a stochastic...

Persistent link: https://www.econbiz.de/10010255258

Formulating a stochastic discounting model with actuarial and risk management applications

Artikis, Constantinos T. - In: Spudai / University of Piraeus : journal of economics … 62 (2012) 3/4, pp. 7-15

Persistent link: https://www.econbiz.de/10010201835

Minimizing risk exposure when the choice of a risk measure is ambiguous

Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344

Persistent link: https://www.econbiz.de/10011819577

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Persistent link: https://www.econbiz.de/10010399713