Insurance demand and first order risk increases under (μ, σ)-preferences

被引：3
|
作者：
Bonilla, Claudio A. [1 ]
Ruiz, Jose L. [1 ]
机构：
[1] Univ Chile, Sch Business & Econ, Santiago, Chile
来源：
FINANCE RESEARCH LETTERS | 2014年 / 11卷 / 03期
关键词：
Insurance demand; Risk increase; Risk aversion; DARA preferences; 2-MOMENT DECISION-MODELS; PARAMETRIC CHARACTERIZATIONS; PRUDENCE; AVERSION; VULNERABILITY;
D O I：
10.1016/j.frl.2014.04.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study the optimal insurance demand in the (mu, sigma) space when the decision-maker faces a first-order risk increase. In particular, we investigate the effect of an increase in the expected damage when the variance is held constant. An unambiguous result is derived on insurance demand that differs from previous results in the literature in that it does not depend on additional assumption such as DARA utility functions or the level of risk aversion elasticity. (C) 2014 Elsevier Inc. All rights reserved.
引用
收藏
页码：219 / 223
页数：5
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