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

被引：6
|
作者：
Eichner, Thomas [1 ]
Wagener, Andreas [2 ]
机构：
[1] Univ Hagen, Dept Econ, D-58097 Hagen, Germany
[2] Leibniz Univ Hannover, Sch Econ & Management, D-30167 Hannover, Germany
来源：
FINANCE RESEARCH LETTERS | 2014年 / 11卷 / 04期
关键词：
Mean-variance preferences; Insurance demand; Relative risk aversion; Elasticity of risk aversion; COMPARATIVE STATICS; MULTIPLE SOURCES;
D O I：
10.1016/j.frl.2014.06.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In the mean-variance framework, insurance demand goes down when the expected size of insurable losses decreases or insurance premia increase if the elasticity of risk aversion with respect to expected wealth exceeds -1. In terms of the expected-utility approach, this condition is equivalent to the index of partial relative risk aversion being lower than one. (C) 2014 Elsevier Inc. All rights reserved.
引用
收藏
页码：326 / 331
页数：6
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