User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

Beyond risk aversion: why, how and what's next?

Primary tabs

Eeckhoudt, Louis [IESEG, Lille]

Risk attitudes other than risk aversion (e.g. prudence and temperance) are becoming important both in theoretical and empirical work. While the literature has mainly focused its attention on the intensity of such risk attitudes (e.g. the concepts of absolute prudence and absolute temperance), I consider here an alternative approach related to the direction of these attitudes (i.e. the sign of the successive derivatives of the utility function).

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès interdit
Publication date 2012
Language Anglais
Journal information "The Geneva Risk and Insurance Review" - Vol. 37, no.2, p. 141-155 (2012)
Peer reviewed yes
Publisher Palgrave Macmillan ((United States) New York)
issn 1554-964X
e-issn 1554-9658
Publication status Publié
Affiliation UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
Keywords risk aversion ; prudence ; temperance ; moments of a distribution
Links
  1. Arrow, K. (1965) Aspects of the Theory of Risk-bearing, Helsinki: Yrjš Jahnsson Foundation.
  2. Bernoulli, D. (1738) ‘Specimen theoriae novae de mensura sortis’, Comentarii Academiae Scientiarum Petropolitanae 5: 175–192, Translated by L. Sommer (1954), Econometrica, 22: 23–36.
  3. Borch, K. (1990) Economics of Insurance, Amsterdam: North-Holland.
  4. Bramoullé Yann, Treich Nicolas, Can Uncertainty Alleviate the Commons Problem?, 10.1162/jeea.2009.7.5.1042
  5. Brockett Patrick L., Kahane Yehuda, Risk, Return, Skewness and Preference, 10.1287/mnsc.38.6.851
  6. Caballé Jordi, Pomansky Alexey, Mixed Risk Aversion, 10.1006/jeth.1996.0130
  7. Chiu W. Henry, Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes, 10.1287/mnsc.1050.0431
  8. Chiu W. Henry, Eeckhoudt Louis, Rey Beatrice, On relative and partial risk attitudes: theory and implications, 10.1007/s00199-010-0557-7
  9. Cohen Michèle D., Risk-Aversion Concepts in Expected- and Non-Expected-Utility Models, 10.1007/bf01098959
  10. Crainich David, Eeckhoudt Louis, On the intensity of downside risk aversion, 10.1007/s11166-008-9037-x
  11. Crainich, D., Eeckhoudt, L. and Trannoy, A. (2011) About (mixed) risk lovers (or: are we all prudent?) LEM Working Paper.
  12. Cramer, H. (1728) ‘Specimen theoriae novae de mensura sortis’, Comentarii Academiae Scientiarum Petropolitanae 5: 175–192, Translated by L. Sommer (1954), Econometrica, 22: 23–36.
  13. Danthine, J.-P. and Donaldson, J. (2005) Intermediate Financial Theory, London: Academic Press.
  14. Deck C., Schlesinger H., Exploring Higher Order Risk Effects, 10.1111/j.1467-937x.2010.00605.x
  15. Denuit Michel M., Eeckhoudt Louis, A General Index of Absolute Risk Attitude, 10.1287/mnsc.1090.1134
  16. Denuit Michel M., Eeckhoudt Louis, Stronger measures of higher-order risk attitudes, 10.1016/j.jet.2010.03.005
  17. Denuit Michel, Rey Béatrice, Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes, 10.1016/j.mathsocsci.2010.06.005
  18. Ebert Sebastian, Wiesen Daniel, Testing for Prudence and Skewness Seeking, 10.1287/mnsc.1110.1354
  19. Eeckhoudt Louis, Etner Johanna, Schroyen Fred, The values of relative risk aversion and prudence: A context-free interpretation, 10.1016/j.mathsocsci.2008.09.007
  20. Eeckhoudt Louis, Gollier Christian, The impact of prudence on optimal prevention, 10.1007/s00199-004-0548-7
  21. Eeckhoudt Louis, Gollier Christian, Schneider Thierry, Risk-aversion, prudence and temperance: A unified approach, 10.1016/0165-1765(94)00636-g
  22. Eeckhoudt, L. and Kimball, M. (1992) ‘Background risk, prudence and the demand for insurance’, in G. Dionne (ed.) Contributions to Insurance Economics, Boston, Dordrecht, London: Kluwer Academic Publisher, p. 524.
  23. Eeckhoudt Louis, Schlesinger Harris, Putting Risk in Its Proper Place, 10.1257/000282806776157777
  24. Eeckhoudt Louis, Schlesinger Harris, Changes in risk and the demand for saving, 10.1016/j.jmoneco.2008.08.004
  25. Eeckhoudt Louis, Schlesinger Harris, On the utility premium of Friedman and Savage, 10.1016/j.econlet.2009.05.018
  26. Eeckhoudt Louis, Schlesinger Harris, Tsetlin Ilia, Apportioning of risks via stochastic dominance, 10.1016/j.jet.2008.11.005
  27. Ekern Steinar, Increasing Nth degree risk, 10.1016/0165-1765(80)90005-1
  28. Epstein Larry G., Tanny Stephen M., Increasing Generalized Correlation: A Definition and Some Economic Consequences, 10.2307/134617
  29. Eso Peter, White Lucy, Precautionary Bidding in Auctions, 10.1111/j.1468-0262.2004.00478.x
  30. Fagart Marie-Cécile, Sinclair-Desgagné Bernard, Ranking Contingent Monitoring Systems, 10.1287/mnsc.1060.0693
  31. Gollier, C. (2001) The Economics of Risk and Time, Cambridge: MIT Press.
  32. Gollier, C. (2011) Pricing the Planet's Future: The Economics of Discounting in an Uncertain World, London: Princeton University Press.
  33. Gollier Christian, Pratt John W., Risk Vulnerability and the Tempering Effect of Background Risk, 10.2307/2171958
  34. Gollier Christian, Weitzman Martin L., How should the distant future be discounted when discount rates are uncertain?, 10.1016/j.econlet.2010.03.001
  35. Ingersoll, J. (1987) Theory of Financial Decision Making, Savage, Maryland: Rowman and Littlefield Publishers, p. 474.
  36. Jindapon Paan, Neilson William S., Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach, 10.1016/j.jet.2006.03.010
  37. Keenan Donald C., Snow Arthur, 10.1023/a:1015639619733
  38. Keenan Donald C., Snow Arthur, Greater downside risk aversion in the large, 10.1016/j.jet.2008.08.007
  39. Kimball Miles S., Precautionary Saving in the Small and in the Large, 10.2307/2938334
  40. Kimball, M. (1992) ‘Precautionary motives for holding assets’, in P. Newman, M. Milgate et and J. Eatwell (eds.) The New Palgrave Dictionary of Money and Finance. Vol. 3, London: The Macmillan Press Limited, pp. 158–161.
  41. Kocabıyıkoğlu Ayşe, Popescu Ioana, Managerial Motivation Dynamics and Incentives, 10.1287/mnsc.1060.0640
  42. Li, J. (2010) ‘Comparative higher-degree Ross risk aversion’, Insurance: Mathematics and Economics 45 (3): 333–336.
  43. Menegatti Mario, Optimal prevention and prudence in a two-period model, 10.1016/j.mathsocsci.2009.07.001
  44. Menezes, C., Geiss, C. and Tressler, J. (1980) ‘Increasing downside risk’, American Economic Review 70 (5): 921–932.
  45. Menezes Carmen F., Wang X.Henry, Increasing outer risk, 10.1016/j.jmateco.2004.07.002
  46. Meier, J. and Ruger, M. (2009) ‘Reference-dependent risk preferences of higher orders’, Mimeo, University of Augsburg.
  47. Meier, J. and Ruger, M. (2010) ‘Experimental evidence on higher-order risk preferences?’ Mimeo, University of Augsburg.
  48. Modica Salvatore, Scarsini Marco, A note on comparative downside risk aversion, 10.1016/j.jet.2004.06.008
  49. Noussair, C., Trautmann, S. and van de Kuilen, G. (2011) Higher order risk attitudes, demographics, and financial decisions, Working Paper, University of Tilburg.
  50. Pratt John W., Risk Aversion in the Small and in the Large, 10.2307/1913738
  51. Pratt John W., Zeckhauser Richard J., Proper Risk Aversion, 10.2307/1911160
  52. Ross Stephen A., Some Stronger Measures of Risk Aversion in the Small and the Large with Applications, 10.2307/1911515
  53. Rothschild Michael, Stiglitz Joseph E, Increasing risk: I. A definition, 10.1016/0022-0531(70)90038-4
  54. Rothschild Michael, Stiglitz Joseph E, Increasing risk II: Its economic consequences, 10.1016/0022-0531(71)90034-2
  55. White Lucy, Prudence in bargaining: The effect of uncertainty on bargaining outcomes, 10.1016/j.geb.2006.11.006
Bibliographic reference Eeckhoudt, Louis. Beyond risk aversion: why, how and what's next?. In: The Geneva Risk and Insurance Review, Vol. 37, no.2, p. 141-155 (2012)
Permanent URL http://hdl.handle.net/2078.1/134837