Expected utility and catastrophic consumption risk

DOI10.1016/J.INSMATHECO.2015.06.007zbMath1348.91152OpenAlexW854094664MaRDI QIDQ495495

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

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 utilityconsumptioncatastrophecost-benefit analysisexponential utilitypower utilityrisk management and self-insurance

Mathematics Subject Classification ID

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

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Cites Work

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• A note on some limitations of CRRA utility

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