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Comparative Statics Under Multiple Sources of Risk with Applications to Insurance Demand

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  • Georges Dionne

    (Economics Department and Centre de recherche sur les transports, Universit� de Montr�al, C.P. 6128, succursale A, Montr�al, Qu�bec H3C 3J7)

  • Christian Gollier

    (Finance Department, Groupe HEC, 1, rue de la Lib�ration, 78350, Jouy-en-Josas, France)

Abstract

In this paper we propose an answer to the following problem of comparative statics in models with multiple sources of risk: How a risk averse agent will change his coinsurance demand when the distribution of the insurable loss is shifted? To answer the question, we first comment on Jack Meyer's results and then we show how an alternate approach leads to more definitive comparative statics. The Geneva Papers on Risk and Insurance Theory (1992) 17, 21–33. doi:10.1007/BF00941955

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Article provided by Palgrave Macmillan in its journal The Geneva Papers on Risk and Insurance Theory.

Volume (Year): 17 (1992)
Issue (Month): 1 (June)
Pages: 21-33

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Handle: RePEc:pal:genrir:v:17:y:1992:i:1:p:21-33

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Cited by:
  1. Christian Gollier, 2011. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," Review of Economic Studies, Oxford University Press, vol. 78(4), pages 1329-1344.
  2. Luigi Guiso & Tullio Jappelli, 1998. "Background Uncertainty and the Demand for Insurance Against Insurable Risks," The Geneva Risk and Insurance Review, Palgrave Macmillan, Palgrave Macmillan, vol. 23(1), pages 7-27, June.
  3. CHIU, W. Henry & EECKHOUDT, Louis & REY, Béatrice, . "On relative and partial risk attitudes: theory and implications," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -2431, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Gollier, Christian & Schlesinger, Harris, 2002. "Changes in risk and asset prices," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(4), pages 747-760, May.
  5. Alain Chateauneuf & Ghizlane Lakhnati, 2005. "Increases in risk and demand for risky asset," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00194413, HAL.
  6. Suyeol Ryu & Iltae Kim, 2005. "Portfolio Choice for Increases in Risk and Prudence Revisited," Journal of Economics, Springer, Springer, vol. 86(3), pages 293-300, December.

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