Comparative statics for rank-dependent expected utility theory

DOI10.1007/BF00056160zbMath0735.90005OpenAlexW2055969979MaRDI QIDQ1180523

John Quiggin

Publication date: 27 June 1992

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00056160

zbMATH Keywords

probability weightingrank dependent expected utilitycomparative static results

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (30)

Preference under risk in the presence of indistinguishable probabilities ⋮ Risk seeking with diminishing marginal utility in a non-expected utility model ⋮ The preservation of multivariate comparative statics in nonexpected utility theory ⋮ Economic choice in generalized expected utility theory ⋮ Time and risk ⋮ On the precautionary motive for savings and prudence in the rank-dependent utility framework ⋮ Risk decision analysis in emergency response: a method based on cumulative prospect theory ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES ⋮ Supermodularity and the comparative statics of risk ⋮ Random rank-dependent expected utility ⋮ Stochastic dominance representation of optimistic belief: theory and applications ⋮ Comparative statics tests between decision models under risk ⋮ Dynamic decision making when risk perception depends on past experience ⋮ Pessimistic portfolio choice with one safe and one risky asset and right monotone probability difference order ⋮ Increases in risk and demand for a risky asset ⋮ A belief-based definition of ambiguity aversion ⋮ Diversification preferences in the theory of choice ⋮ Risk assessment for build-operate-transfer projects: a dynamic multi-objective programming approach ⋮ OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY ⋮ Production under uncertainty and choice under uncertainty in the emergence of generalized expected utility theory ⋮ Risk reducers in convex order ⋮ Comparative statics derivatives with nonlinear preferences ⋮ BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS ⋮ The optimal insurance policy for the general fixed cost of handling an indemnity under rank-dependent expected utility ⋮ Properties of bid and ask reservation prices in the rank-dependent expected utility model ⋮ Two-parameter decision models and rank-dependent expected utility ⋮ Rank-Dependent Utility and Risk Taking in Complete Markets ⋮ Characterization of symmetrical monotone risk aversion in the RDEU model. ⋮ Regret theory with general choice sets

Cites Work

• Temporal risk and the nature of induced preferences
• Anticipated utility: A measure representation approach
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Expected utility with purely subjective non-additive probabilities
• A correspondence theorem between expected utility and smooth utility
• The impact of uncertainty in a class of objective functions
• Comparative statics and non-expected utility preferences
• A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox
• Subjective Probability and Expected Utility without Additivity
• "Expected Utility" Analysis without the Independence Axiom
• Prospect Theory: An Analysis of Decision under Risk
• "Preference Reversal" and the Observability of Preferences by Experimental Methods
• The Dual Theory of Choice under Risk
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