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A theoretical and experimental appraisal of four risk elicitation methods

Author

Listed:
  • Paolo Crosetto

    (INRA and Univ. Grenoble Alpes)

  • Antonio Filippin

    (University of Milan
    Institute for the Study of Labor (IZA))

Abstract

The paper performs an in-depth comparison of four incentivised risk elicitation tasks. We show by means of a simulation exercise that part of the often observed heterogeneity of estimates across tasks is due to task-specific measurement error induced by the mere mechanics of the tasks. We run a replication experiment in a homogeneous subject pool using a between subjects one-shot design. Results shows that the task estimates vary over and above what can be explained by the simulations. We investigate the possibility the tasks elicit different types of preferences, rather than simply provide a different measure of the same preferences. In particular, the availability of a riskless alternative plays a prominent role helping to explain part of the differences in the estimated preferences.

Suggested Citation

  • Paolo Crosetto & Antonio Filippin, 2016. "A theoretical and experimental appraisal of four risk elicitation methods," Experimental Economics, Springer;Economic Science Association, vol. 19(3), pages 613-641, September.
    • Handle: RePEc:kap:expeco:v:19:y:2016:i:3:d:10.1007_s10683-015-9457-9
    DOI: 10.1007/s10683-015-9457-9
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    More about this item

    Keywords

    Risk attitudes; Elicitation methods; Experiment;
    All these keywords.

    JEL classification:

    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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