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Restricted increases in risk aversion and their application

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Eeckhoudt, Louis [UCL] Liu, Liqun Meyer, Jack

This paper proposes additional definitions of what it means for one decision maker to be more risk averse than another. These definitions build on the strongly more risk averse definition presented by Ross (Econometrica 49:621–663, 1981). Using examples from portfolio choice, self-protection and insurance demand, it is shown that these definitions of increased risk aversion facilitate clear-cut comparative statics analysis in decision models where traditional concepts of increased risk aversion are insufficient.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2016
Language Anglais
Journal information "Economic Theory" - Vol. 64, no.1, p. 161-181 (2016)
Peer reviewed yes
Publisher Springer (Heidelberg)
issn 0938-2259
e-issn 1432-0479
Publication status Publié
Affiliation UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
Links
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Bibliographic reference Eeckhoudt, Louis ; Liu, Liqun ; Meyer, Jack. Restricted increases in risk aversion and their application. In: Economic Theory, Vol. 64, no.1, p. 161-181 (2016)
Permanent URL http://hdl.handle.net/2078.1/186285