Local risk aversion in the rank dependent expected utility model: first order versus second order effects

DOI10.1016/S0165-1765(98)00043-3zbMath1284.91221OpenAlexW2016274685MaRDI QIDQ2442569

Jean-Pascal Gayant, Jean-Michel Courtault

Publication date: 3 April 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00043-3

zbMATH Keywords

risk premiumlocal risk aversionrank dependent expected utility model

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• First order versus second order risk aversion
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Separating marginal utility and probabilistic risk aversion
• Risk seeking with diminishing marginal utility in a non-expected utility model
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• The Dual Theory of Choice under Risk
• Risk Aversion in the Small and in the Large

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