150 research outputs found
Risk apportionment: The dual story
No full textsponsorship: With great sadness, we lost our friend and co-author Harris Schlesinger, who passed away while we were in the process of writing this paper. We are very grateful to the Editor and two referees for thoughtful comments and suggestions that have significantly improved the paper. We are also grateful to Sebastian Ebert, Johanna Ether, Christian Gollier, Glenn Harrison, Mike Hoy, Liqun Liu (discussant), Lisa Posey (discussant), Nicolas Treich, Michel Vellekoop, and Claudio Zoli for detailed comments, and to conference and seminar participants at the EGRIE Meeting, the Risk Theory Society Meeting, the World Risk and Insurance Economics Congress, the Tinbergen Institute, and the KAFEE seminar at the University of Amsterdam for helpful comments and suggestions. This paper was circulated earlier under the title "Prudence, temperance (and other virtues): The dual story". This research was funded in part by the Netherlands Organisation for Scientific Research (Laeven) under grant NWO VIDI. (Netherlands Organisation for Scientific Research (Laeven) under grant NWO VIDI)status: Publishe
Scrap Value Functions in Dynamic Decision Problems
Full text linkWe introduce an accurate, easily implementable, and fast algorithm to compute optimal decisions in discrete-time long-horizon welfaremaximizing problems. The algorithm is useful when interest is only in the decisions up to period T, where T is small. It relies on a flexible parametrization of the relationship between state variables and optimal total time-discounted welfare through scrap value functions. We demonstrate that this relationship depends on the boundedness, half-boundedness, or unboundedness of the utility function, and on whether a state variable increases or decreases welfare. We propose functional forms for this relationship for large classes of utility functions and explain how to identify the parameters.Scrap value function;Dynamic optimization;Computation;Short horizon.
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
Full text linksponsorship: This research was supported in part by the Japan Society for the Promotion of Science (JSPS) under grant 16K03565 (Ikefuji) and the Netherlands Organization for Scientific Research (NWO) under grant VIDI (Laeven). (Japan Society for the Promotion of Science (JSPS)|16K03565, Netherlands Organization for Scientific Research (NWO))status: Publishe
Burr Utility
Full text linkThis note proposes the Burr utility function. Burr utility is a flexible two-parameter family that behaves approximately power-like (CRRA) remote from the origin, while exhibiting exponential-like (CARA) features near the origin. It thus avoids the extreme behavior of the power family near the origin. We show how to characterize Burr utility as a special case in the general class of utility functions with non-increasing and convex absolute risk aversion, and non-decreasing and concave relative risk aversion. We further show its connection to the Burr probability distribution. A related class of generalized exponential utility functions is also studied.Cardinal scale;Utility function;Harmonic absolute risk aversion (HARA);Exponential utility;Power utility
Essays on risk measures and stochastic dependence : with applications to insurance and finance
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Verzekeraars en pensioenen: aantrekkelijke alternatieven voor het StAr RAM-contract
No full textDeze bijdrage bespreekt een aantrekkelijk alternatief voor het StAr RAM-contract
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