From Local Theory of Risk Aversion to an Intertemporal Theory of Risks Under Discrete Choices
AbstractWhile the well-known Pratt-Arrow measure of risk premium is useful in studying local risks, this paper introduces new measures to cope with non-trivial risks, including default. The premia derived are cast in terms of life-time and instantaneous utilities and required income. the results follow from the martingale property of pricing of american type contingent claims analogous to perpetual binary put options on dividend paying assets.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Department of Economics in its series University of Helsinki, Department of Economics with number 442.
Length: 13 pages
Date of creation: 1998
Date of revision:
Contact details of provider:
Postal: University of Helsinki; Department of Economics, P.O.Box 54 (Unioninkatu 37) FIN-00014 Helsingin Yliopisto
Phone: +358 9 191 8897
Fax: +358 9 191 8877
Web page: http://www.helsinki.fi/politiikkajatalous/
More information through EDIRC
Find related papers by JEL classification:
- D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Pekka Ilmakunnas & Vesa Kanniainen & Uki Lammi, .
"Entrepreneurship, Economic Risks, and Risk-Insurance in the Welfare State,"
EPRU Working Paper Series
99-03, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Ilmakunnas, P. & Kanniainen, V. & Lammi, U., 1999. "Entrepreneurship, Economic Risks, and Risk-Insurance in the Welfare State," University of Helsinki, Department of Economics 453, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.