Distortion risk measures, ambiguity aversion and optimal effort

DOI10.1017/ASB.2014.3MaRDI QIDQ5419643zbMATH OpenOpenAlexFDO

Authors C. Y. Robert, Pierre-E. Thérond

Publication date 11 June 2014

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2014.3

zbMATH Keywords

ambiguityambiguity aversioncomparative statics resultsdistortion risk measuresrisk aversion

Mathematics Subject Classification ID

Decision theory (91B06)

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Cites work

• A Smooth Model of Decision Making under Ambiguity
• Ambiguity and the value of information
• Ambiguity aversion and the propensities for self-insurance and self-protection
• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Coherent measures of risk
• On the definition of risk aversion
• Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
• Risk Measures and Comonotonicity: A Review
• Risk, ambiguity and the Savage axioms
• Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• The Dual Theory of Choice under Risk
• Willingness to pay, the risk premium and risk aversion

Cited in

(11)

• Distorted probabilities and choice under risk
• A note on risky targets and effort
• Elicitable distortion risk measures: a concise proof
• What attitudes to risk underlie distortion risk measure choices?
• Ambiguity aversion, higher-order risk attitude and optimal effort
• An economic premium principle under the dual theory of the smooth ambiguity model
• Ambiguous risk aversion under capacity
• Optimal insurance contracts under distortion risk measures with ambiguity aversion
• Worst-case moments under partial ambiguity
• Distributionally robust insurance under the Wasserstein distance
• Self-protection and insurance demand under time-inconsistent mean-variance framework

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