On the shape of non-monetary measures for risks

Courbage, Christophe (Haute école de gestion de Genève, HES-SO // Haute Ecole Spécialisée de Suisse Occidentale) ; Loubergé, Henri (University of Geneva, Geneva School of Economics and Management, Swiss Finance Institute) ; Rey, Béatrice (Université de Lyon, Lyon, France)

This paper investigates how welfare losses for facing risks change as a function of the number of risk exposures. To that aim, we define the risk apportionment of order n (RA-n) utility premium as a measure of pain associated with facing the passage from one risk to a riskier one. Changes in risks are expressed through the specific concept of stochastic dominance of order n defined by Ekern (1980). Three configurations of risk exposures are considered. The paper first shows how the RA-n utility premium is modified when individuals wealth becomes riskier. This makes it possible to generalise earlier results on the topic. Second, the paper provides necessary and sufficient conditions on individual preferences for superadditivity and subadditivity of the RA-n utility premium. Third, the paper investigates welfare changes of merging increases in risks.


Type de conférence:
full paper
Ecole:
HEG-GE
Institut:
Centre de Recherche Appliquée en Gestion
Classification:
Économie/gestion
Adresse bibliogr.:
Munich, Germany, 12-13 December 2016
Date:
Munich, Germany
12-13 December 2016
2016
Pagination:
15 p.
Titre du document hôte:
Proceedings of the CEAR/MRIC Behavioral Insurance Workshop 2016
Le document apparaît dans:



 Notice créée le 2017-03-09, modifiée le 2017-05-22

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