Lotteries, insurance, and star-shaped utility functions
Most agents insure against risks which entail large losses, but few insure against small losses. The fact that organized lotteries charge low ticket prices exemplifies this spirit. This weakly risk averse behavior pattern sees to be well structured but is at variance with concavity. We derive axiomatically a class of utility functions, star-shaped, which accommodate these phenomena. Concavity yields risk aversion everywhere and decreasing marginal utility. Star-shaped utility functions exhibit risk aversion at some wealth positions, and average utility from any of these is a decreasing function of wealth.
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- Expected utility with perturbed lotteries
- Lottery-dependent utility via stochastic benchmarking
- Payoff kinks in preferences over lotteries
- Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets
- Choquet expected utility representation of preferences on generalized lotteries
- Revealed preference theory on the choice of lotteries
- Lotteries, sunspots, and incentive constraints
- "Expected Utility" Analysis without the Independence Axiom
- A tale of two tails: an alternative characterization of comparative risk
- Friedman-Savage Utility Functions Consistent with Risk Aversion
- scientific article; zbMATH DE number 3223983 (Why is no real title available?)
- Optimal contracts and competitive markets with costly state verification
- Strong Increases in Risk and Their Comparative Statics
- The Existence of Probability Measures with Given Marginals
- Star-shaped probability weighting functions and overbidding in first-price auctions
- Comparing risks with unbounded distributions
- Inequality indices and the starshaped principle of transfers
- Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
- The utility of gambling
- Utility of wealth with many indivisibilities
- Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets
- Preference for safety under the Choquet model: in search of a characterization
- scientific article; zbMATH DE number 773969 (Why is no real title available?)
- Star-Shaped Risk Measures
- Pareto-optimal Contracts in an Insurance Market
- Lottery dependent utility: A reexamination
- Star-shaped acceptability indexes
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