Prudence probability premium
Prudence probability premium is defined in the risk apportionment model (Eeckhoudt and Schlesinger, 2006). For an increase in downside risk, we show sufficient conditions for comparing the probability premiums between two individuals when the apportioned risk is small and large.
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References listed on IDEAS
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- Miles S. Kimball, 1989.
"Precautionary Saving in the Small and in the Large,"
NBER Working Papers
2848, National Bureau of Economic Research, Inc.
- Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
- Keenan, Donald C & Snow, Arthur, 2002. " Greater Downside Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 267-77, May.
- 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.
- repec:hal:journl:hal-00292420 is not listed on IDEAS
- Keenan, Donald C. & Snow, Arthur, 2010. "Greater prudence and greater downside risk aversion," Journal of Economic Theory, Elsevier, vol. 145(5), pages 2018-2026, September.
- Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279.
- Louis Eeckhoudt & Harris Schlesinger, 2006.
"Putting Risk in Its Proper Place,"
American Economic Review,
American Economic Association, vol. 96(1), pages 280-289, March.
- Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-38, May.
- Keenan, Donald C. & Snow, Arthur, 2009. "Greater downside risk aversion in the large," Journal of Economic Theory, Elsevier, vol. 144(3), pages 1092-1101, May.
- Jindapon, Paan & Neilson, William S., 2007. "Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach," Journal of Economic Theory, Elsevier, vol. 136(1), pages 719-728, September.
- Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
- Modica, Salvatore & Scarsini, Marco, 2005. "A note on comparative downside risk aversion," Journal of Economic Theory, Elsevier, vol. 122(2), pages 267-271, June.
- Chiu, W.Henry, 2005. "Degree of downside risk aversion and self-protection," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 93-101, February.
- repec:hal:journl:hal-00283170 is not listed on IDEAS
- Eeckhoudt, Louis & Schlesinger, Harris, 2009. "On the utility premium of Friedman and Savage," Economics Letters, Elsevier, vol. 105(1), pages 46-48, October.
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