IDEAS home Printed from https://ideas.repec.org/a/pal/genrir/v17y1992i1p61-75.html
   My bibliography  Save this article

Saving Under Uncertainty: A Bivariate Non-Expected Utility Approach

Author

Listed:
  • Fanny Demers

    (Department of Economics, Carleton University, Ottawa, Ontario, Canada K1S 5B6)

  • Michel Demers

    (Department of Economics, Carleton University, Ottawa, Ontario, Canada K1S 5B6)

Abstract

We adopt the multivariate non-expected utility approach proposed by Yaari [1986] to provide a characterization of the comparative statics effects of greater risk aversion and of mean-preserving increases in risk on saving and borrowing in the presence of income and interest rate risk.We show that in Yaari's model, it is possible to extend the applicability of the Diamond and Stiglitz [1974] and Kihlstrom and Mirman [1974] (DSKM) single-crossing property to establish a relationship between greater risk aversion and saving (or borrowing) on the basis of the individual's ordinal preferences as long as the two risks are independent. We also demonstrate that the comparative statics effects of a joint mean-preserving increase in random income and interest rate on saving and borrowing can be determined by an extension of the DSKM single-crossing property. The Geneva Papers on Risk and Insurance Theory (1992) 17, 61–75. doi:10.1007/BF00941957

Suggested Citation

  • Fanny Demers & Michel Demers, 1992. "Saving Under Uncertainty: A Bivariate Non-Expected Utility Approach," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 17(1), pages 61-75, June.
    • Handle: RePEc:pal:genrir:v:17:y:1992:i:1:p:61-75
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/grir/journal/v17/n1/pdf/grir199227a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/grir/journal/v17/n1/full/grir199227a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alain Chateauneuf & Ghizlane Lakhnati & Eric Langlais, 2016. "On the precautionary motive for savings and prudence in the rank-dependent utility framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(1), pages 169-182, January.
    2. Alain Chateauneuf & Ghizlane Lakhnati & Eric Langlais, 2005. "On the precautionary motive for savings and prudence, in an EU and a NEU framework," Cahiers de la Maison des Sciences Economiques b05034, Université Panthéon-Sorbonne (Paris 1).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:genrir:v:17:y:1992:i:1:p:61-75. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.