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Fear of Ruin

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Author Info
Jérôme Foncel
Nicolas Treich ()

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Abstract

This paper offers interpretations and applications of the “fear of ruin” coefficient (Aumann and Kurz, 1977, Econometrica). This coefficient is useful for analyzing the behavior of expected utility maximizers when they face binary lotteries with the same worse outcome. Comparative statics results of “more fear of ruin” are derived. The partial ordering induced by the fear of ruin coefficient is shown to be weaker than that induced by the Arrow-Pratt coefficient. Copyright Springer Science + Business Media, Inc. 2005

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File URL: http://hdl.handle.net/10.1007/s11166-005-5104-8
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Publisher Info
Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 31 (2005)
Issue (Month): 3 (December)
Pages: 289-300
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:jrisku:v:31:y:2005:i:3:p:289-300

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Web page: http://www.springerlink.com/link.asp?id=100299

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Related research
Keywords: risk-aversion; expected utility; Arrow-Pratt coefficient; auctions; value-of-life;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Rosen, Sherwin, 1988. " The Value of Changes in Life Expectancy," Journal of Risk and Uncertainty, Springer, vol. 1(3), pages 285-304, September.
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  2. Péter Esö & Lucy White, 2004. "Precautionary Bidding in Auctions," Econometrica, Econometric Society, vol. 72(1), pages 77-92, 01. [Downloadable!] (restricted)
    Other versions:
  3. Roth, Alvin E & Rothblum, Uriel G, 1982. "Risk Aversion and Nash's Solution for Bargaining Games with Risky Outcomes," Econometrica, Econometric Society, vol. 50(3), pages 639-47, May. [Downloadable!] (restricted)
  4. Eeckhoudt, Louis R & Hammitt, James K, 2001. " Background Risks and the Value of a Statistical Life," Journal of Risk and Uncertainty, Springer, vol. 23(3), pages 261-79, November. [Downloadable!] (restricted)
  5. Aumann, Robert J & Kurz, Mordecai, 1977. "Power and Taxes," Econometrica, Econometric Society, vol. 45(5), pages 1137-61, July. [Downloadable!] (restricted)
  6. Jones-Lee, M W, 1980. "Maximum Acceptable Physical Risk and a New Measure of Financial Risk-Aversion," Economic Journal, Royal Economic Society, vol. 90(359), pages 550-68, September. [Downloadable!] (restricted)
  7. Garber, Alan M. & Phelps, Charles E., 1997. "Economic foundations of cost-effectiveness analysis," Journal of Health Economics, Elsevier, vol. 16(1), pages 1-31, February. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. David Crainich & Louis Eeckhoudt, 2008. "On the intensity of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 267-276, June. [Downloadable!] (restricted)
    Other versions:
  2. Martin Weitzman, 2007. "Structural Uncertainty and the Value of Statistical Life in the Economics of Catastrophic Climate Change," NBER Working Papers 13490, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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