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On the effect of risk aversion in two-person, two-state finance economies

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Author Info
Berden, Caroline
Peters, Hans (METEOR)
Abstract

The effect of replacing an agent in a two-person two-state finance economy by a more risk averse agent is studied. It is established under which conditions the other agent benefitsor looses in equilibrium from dealing with a more risk averse agent. If one agent becomes more risk averse, then the equilibrium allocation moves towards that agent''s certainty line. Whether or not that is beneficial for the other agent, depends on the location of the endowment point.

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Paper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 011.

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Date of creation: 2006
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Handle: RePEc:dgr:umamet:2006011

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Keywords: microeconomics ;

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References listed on IDEAS
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  1. D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal Of The Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541. [Downloadable!] (restricted)
  2. Allen, Linda & DeLong, Gayle & Saunders, Anthony, 2004. "Issues in the credit risk modeling of retail markets," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 727-752, April. [Downloadable!] (restricted)
  3. Loretta J. Mester, 1997. "What's the point of credit scoring?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 3-16. [Downloadable!]
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This page was last updated on 2009-12-16.

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