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Endogenous Risks and the Risk Premium

Author

Listed:
  • Briys, E.
  • Eeckhoudt, L.
  • Louberge, H.

Abstract

Cette Note Tente de Combler une Lacune de la Theorie Microeconomique de la Decision En Incertitude. Cette Litterature a Souvent Eu Recours Dans Ses Exercices de Statique Comparee aux Traditionnelles Mesures D'aversion Pour le Risque Developpees Par Arrow-Pratt. Elle N'a Que Tres Rarement Prete Attention a la Definition Precise de la Prime de Risque Alors Que la Plupart des Risques, Objet de Son Etude, Sont En Partie Controlables (Endogenes). Or, Arrow-Pratt Dans Leurs Contributions Respectives N'ont Considere Que des Loteries, C'est-A-Dire des Risques Non Controlables Par L'individu (Exogenes). Cette Note Met En Evidence les Faiblesses de la Prime D'arrow-Pratt Lorsque Celle-Ci Est Appliquee a des Risques Endogenes. une Nouvelle Definition de la Prime Est Proposee. Cette Note Montre Que Cette Definition Possede les Proprietes Generalement Admises Dans le Cas des Risques Exogenes.

Suggested Citation

  • Briys, E. & Eeckhoudt, L. & Louberge, H., 1985. "Endogenous Risks and the Risk Premium," Cahiers de recherche 8530, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:8530
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    Citations

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    Cited by:

    1. Courbage, Christophe, 1999. "Primes de risque et soins de santé," L'Actualité Economique, Société Canadienne de Science Economique, vol. 75(4), pages 665-672, décembre.
    2. Christoph Heinzel, 2016. "Precautionary Saving in the Large under Higher-Order Risk and Recursive Utility," FOODSECURE Working papers 43, LEI Wageningen UR.
    3. AJ A. Bostian & Christoph Heinzel, 2016. "Consumption Smoothing and Precautionary Saving under Recursive Preferences," FOODSECURE Working papers 44, LEI Wageningen UR.

    More about this item

    Keywords

    Risque ; Incertitude;

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