Distortion risk measures, ambiguity aversion and optimal effort
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Publication:5419643
DOI10.1017/ASB.2014.3zbMATH Open1291.91054OpenAlexW2121843584MaRDI QIDQ5419643FDOQ5419643
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
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Cites Work
- Coherent measures of risk
- The Dual Theory of Choice under Risk
- Risk, ambiguity and the Savage axioms
- A Smooth Model of Decision Making under Ambiguity
- 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
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
- Risk Measures and Comonotonicity: A Review
- Ambiguity and the value of information
- Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear
- On the definition of risk aversion
- Willingness to pay, the risk premium and risk aversion
Cited In (9)
- Ambiguity aversion, higher-order risk attitude and optimal effort
- An economic premium principle under the dual theory of the smooth ambiguity model
- Distorted probabilities and choice under risk
- Worst-case moments under partial ambiguity
- What attitudes to risk underlie distortion risk measure choices?
- A note on risky targets and effort
- Elicitable distortion risk measures: a concise proof
- Ambiguous risk aversion under capacity
- Optimal insurance contracts under distortion risk measures with ambiguity aversion
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