Risk taking with additive and multiplicative background risks

DOI10.1016/j.jet.2011.03.008zbMath1247.91084OpenAlexW2116558675MaRDI QIDQ634525

Guenter Franke, Harris Schlesinger, Richard C. Stapleton

Publication date: 16 August 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2011.03.008

zbMATH Keywords

additivederived risk aversionmultiplicative background risk

Mathematics Subject Classification ID

Group preferences (91B10)

Related Items (14)

Risk aversion with two risks: a theoretical extension ⋮ Optimal allocation of policy deductibles for exchangeable risks ⋮ Background risk models and stepwise portfolio construction ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Comparing utility derivative premia under additive and multiplicative risks ⋮ Basis risk management and randomly scaled uncertainty ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Arrow's Theorem of the Deductible with Heterogeneous Beliefs ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK ⋮ Statistical detection and classification of background risks affecting inputs and outputs ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Optimal capital allocations to interdependent actuarial risks ⋮ Portfolio choice with skewness preference and wealth-dependent risk aversion

Cites Work

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• Who buys and who sells options: the role of options in an economy with background risk
• Nonparametric risk management and implied risk aversion
• Multiplicative Background Risk
• Risk Aversion with Random Initial Wealth
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Changes in Background Risk and Risk Taking Behavior
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion
• Risk Aversion in the Small and in the Large

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