Expected utility and catastrophic consumption risk

DOI10.1016/J.INSMATHECO.2015.06.007MaRDI QIDQ495495zbMATH OpenOpenAlexFDO

Authors Masako Ikefuji, Roger J. A. Laevent, Jan R. Magnus, Chris Muris

Publication date 14 September 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.06.007

zbMATH Keywords

heavy tailsexpected utilitycost-benefit analysiscatastropheconsumptionexponential utilitypower utilityrisk management and self-insurance

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Recommendations

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Cites work

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• A comonotonic image of independence for additive risk measures
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• Entropy coherent and entropy convex measures of risk
• Estimating the mean of a heavy tailed distribution
• Estimating the mean of heavy-tailed distributions
• Fear of ruin
• Pareto utility
• Risk measurement with equivalent utility principles
• Some asymptotic results for sums of dependent random variables, with actuarial applications
• The Dual Theory of Choice under Risk
• The economics of risk and time
• Theory of decision under uncertainty
• Unbounded Utility Functions in Expected Utility Theory

Cited in

(6)

• Expected utility and catastrophic risk in a stochastic economy-climate model
• On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
• Risk averse decision making under catastrophic risk
• Quantifying the Cost of Risk in Consumption
• Creating agent-based energy transition management models that can uncover profitable pathways to climate change mitigation
• Editorial: Analysis and applications of complex social networks

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