A rank-dependent utility model of uncertain lifetime, time consistency and life insurance
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00748662v3
Download full text from publisher
Other versions of this item:
- Nicolas Drouhin, 2012. "A rank-dependent utility model of uncertain lifetime, time consistency and life insurance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00748662, HAL.
References listed on IDEAS
- Nicolas Drouhin, 2009.
"Hyperbolic discounting may be time consistent,"
Economics Bulletin, AccessEcon, vol. 29(4), pages 2549-2555.
- Nicolas Drouhin, 2009. "Hyperbolic discounting may be time consistent," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00633177, HAL.
- Nicolas Drouhin, 2009. "Hyperbolic discounting may be time consistent," PSE-Ecole d'économie de Paris (Postprint) hal-00633177, HAL.
- Nicolas Drouhin, 2009. "Hyperbolic discounting may be time consistent," Post-Print hal-00633177, HAL.
- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
- Alexander Zimper & Alexander Ludwig & Max Groneck, 2012. "A Life-Cycle Consumption Model with Ambiguous Survival Beliefs," 2012 Meeting Papers 693, Society for Economic Dynamics.
- Moresi, Serge, 1999. "Uncertain lifetime, risk aversion and intertemporal substitution," Economics Letters, Elsevier, vol. 62(2), pages 207-212, February.
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Yoram Halevy, 2008.
"Strotz Meets Allais: Diminishing Impatience and the Certainty Effect,"
American Economic Review, American Economic Association, vol. 98(3), pages 1145-1162, June.
- Halevy, Yoram, 2004. "Strotz meets Allais: Diminishing Impatience and the Certainty Effect," Microeconomics.ca working papers yoram_halevy-2004-16, Vancouver School of Economics, revised 25 Feb 2014.
- Drouhin, Nicolas, 2020.
"Non-stationary additive utility and time consistency,"
Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 1-14.
- Nicolas Drouhin, 2019. "Non stationary additive utility and time consistency," Working Papers halshs-01238584, HAL.
- Nicolas Drouhin, 2020. "Non-stationary additive utility and time consistency," Post-Print halshs-02363089, HAL.
- Richard Zeckhauser & W. Viscusi, 2008. "Discounting dilemmas: Editors’ introduction," Journal of Risk and Uncertainty, Springer, vol. 37(2), pages 95-106, December.
- Leung, Siu Fai, 1994.
"Uncertain Lifetime, the Theory of the Consumer, and the Life Cycle Hypothesis,"
Econometrica, Econometric Society, vol. 62(5), pages 1233-1239, September.
- Leung, S.F., 1992. "Uncertain Lifetime, the Theory of the Consumer, and the Life Cycle Hypothesis," RCER Working Papers 323, University of Rochester - Center for Economic Research (RCER).
- Caputo,Michael R., 2005.
"Foundations of Dynamic Economic Analysis,"
Cambridge Books,
Cambridge University Press, number 9780521842723, September.
- Caputo,Michael R., 2005. "Foundations of Dynamic Economic Analysis," Cambridge Books, Cambridge University Press, number 9780521603683, October.
- Partha Dasgupta & Eric Maskin, 2005.
"Uncertainty and Hyperbolic Discounting,"
American Economic Review, American Economic Association, vol. 95(4), pages 1290-1299, September.
- Partha Dasgupta & Eric Maskin, 2004. "Uncertainty and Hyperbolic Discounting," Economics Working Papers 0023, Institute for Advanced Study, School of Social Science.
- Nicolas Drouhin, 2016. "Non stationary additive utility and time consistency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01238584, HAL.
- Diecidue, Enrico & Schmidt, Ulrich & Zank, Horst, 2009.
"Parametric weighting functions,"
Journal of Economic Theory, Elsevier, vol. 144(3), pages 1102-1118, May.
- Enrico Diecidue & Ulrich Schmidt & Horst Zank, 2006. "Parametric Weighting Functions," Economics Discussion Paper Series 0622, Economics, The University of Manchester.
- Diecidue, Enrico & Schmidt, Ulrich & Zank, Horst, 2008. "Parametric weighting functions," Kiel Working Papers 1395, Kiel Institute for the World Economy (IfW Kiel).
- Zank, Horst & Schmidt, Ulrich & Diecidue, Enrico, 2007. "Parametric Weighting Functions," Economics Working Papers 2007-01, Christian-Albrechts-University of Kiel, Department of Economics.
- Thaler, Richard, 1981. "Some empirical evidence on dynamic inconsistency," Economics Letters, Elsevier, vol. 8(3), pages 201-207.
- Menahem E. Yaari, 1965. "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 32(2), pages 137-150.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Antoine Bommier, 2006.
"Uncertain Lifetime And Intertemporal Choice: Risk Aversion As A Rationale For Time Discounting,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(4), pages 1223-1246, November.
- Antoine Bommier, 2001. "Uncertain lifetime and intertemporal choice : risk aversion as a rationale for time discounting," Research Unit Working Papers 0108, Laboratoire d'Economie Appliquee, INRA.
- E. S. Phelps & R. A. Pollak, 1968. "On Second-Best National Saving and Game-Equilibrium Growth," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(2), pages 185-199.
- Sin-Yu Ho & Bernard Njindan Iyke, 2017.
"On the causal links between the stock market and the economy of Hong Kong,"
Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 11(3), September.
- Bernard N. Iyke & Sin-Yu Ho, 2016. "On the causal links between the stock market and the economy of Hong Kong," Working Papers 74, Economic Research Southern Africa.
- Bernard N. Iyke & Sin-Yu Ho, 2016. "On the Causal Links between the Stock Market and the Economy of Hong Kong," Working Papers 591, Economic Research Southern Africa.
- Wakker,Peter P., 2010.
"Prospect Theory,"
Cambridge Books,
Cambridge University Press, number 9780521765015, September.
- Wakker,Peter P., 2010. "Prospect Theory," Cambridge Books, Cambridge University Press, number 9780521748681, October.
- Shane Frederick & George Loewenstein & Ted O'Donoghue, 2002. "Time Discounting and Time Preference: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 40(2), pages 351-401, June.
- Peter D Sozou, 2003. "On Hyperbolic Discounting and Uncertain Hazard Rates," Levine's Working Paper Archive 618897000000000775, David K. Levine.
- George Loewenstein & Drazen Prelec, 1992. "Anomalies in Intertemporal Choice: Evidence and an Interpretation," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(2), pages 573-597.
- Selden, Larry, 1978. "A New Representation of Preferences over "Certain A Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis," Econometrica, Econometric Society, vol. 46(5), pages 1045-1060, September.
- Nicolas Drouhin, 2001. "Lifetime Uncertainty and Time Preference," Theory and Decision, Springer, vol. 51(2), pages 145-172, December.
- Bleichrodt, Han & Eeckhoudt, Louis, 2006.
"Survival risks, intertemporal consumption, and insurance: The case of distorted probabilities,"
Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 335-346, April.
- H. Bleichrodt & L. Eeckhoudt, 2006. "Survival risks, intertemporal consumption, and insurance: The case of distorted probabilities," Post-Print hal-00199632, HAL.
- David Laibson, 1997.
"Golden Eggs and Hyperbolic Discounting,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(2), pages 443-478.
- Laibson, David I., 1997. "Golden Eggs and Hyperbolic Discounting," Scholarly Articles 4481499, Harvard University Department of Economics.
- Paul A. Samuelson, 1937. "A Note on Measurement of Utility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 4(2), pages 155-161.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Drouhin, Nicolas, 2015.
"A rank-dependent utility model of uncertain lifetime,"
Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 208-224.
- Nicolas Drouhin, 2015. "A rank-dependent utility model of uncertain lifetime," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01238589, HAL.
- Nicolas Drouhin, 2015. "A rank-dependent utility model of uncertain lifetime," Post-Print halshs-01238589, HAL.
- Jinrui Pan & Craig S. Webb & Horst Zank, 2019. "Delayed probabilistic risk attitude: a parametric approach," Theory and Decision, Springer, vol. 87(2), pages 201-232, September.
- Walther, Herbert, 2010. "Anomalies in intertemporal choice, time-dependent uncertainty and expected utility - A common approach," Journal of Economic Psychology, Elsevier, vol. 31(1), pages 114-130, February.
- Drouhin, Nicolas, 2020.
"Non-stationary additive utility and time consistency,"
Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 1-14.
- Nicolas Drouhin, 2019. "Non stationary additive utility and time consistency," Working Papers halshs-01238584, HAL.
- Nicolas Drouhin, 2020. "Non-stationary additive utility and time consistency," Post-Print halshs-02363089, HAL.
- Dorian Jullien, 2018. "Under Risk, Over Time, Regarding Other People: Language and Rationality within Three Dimensions," Research in the History of Economic Thought and Methodology, in: Including a Symposium on Latin American Monetary Thought: Two Centuries in Search of Originality, volume 36, pages 119-155, Emerald Group Publishing Limited.
- Hammond, Peter J & Zank, Horst, 2013. "Rationality and Dynamic Consistency under Risk and Uncertainty," The Warwick Economics Research Paper Series (TWERPS) 1033, University of Warwick, Department of Economics.
- Thomas Epper & Helga Fehr-Duda, 2012.
"The missing link: unifying risk taking and time discounting,"
ECON - Working Papers
096, Department of Economics - University of Zurich, revised Oct 2018.
- Epper, Thomas & Fehr-Duda, Helga, 2018. "The Missing Link: Unifying Risk Taking and Time Discounting," Economics Working Paper Series 1812, University of St. Gallen, School of Economics and Political Science.
- Anke Gerbe & Kirsten I.M. Rohde, 2010. "Risk and Preference Reversals in Intertemporal Choice," Post-Print hal-00911832, HAL.
- Dorian Jullien, 2016. "Under Uncertainty, Over Time and Regarding Other People: Rationality in 3D," GREDEG Working Papers 2016-20, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Gerber, Anke & Rohde, Kirsten I.M., 2010. "Risk and preference reversals in intertemporal choice," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 654-668, December.
- Mohammed Abdellaoui & Han Bleichrodt & Olivier l’Haridon, 2013.
"Sign-dependence in intertemporal choice,"
Journal of Risk and Uncertainty, Springer, vol. 47(3), pages 225-253, December.
- Mohammed Abdellaoui & Han Bleichrodt & Olivier L’haridon, 2013. "Sign-dependence in intertemporal choice," Post-Print halshs-00846590, HAL.
- Nicolas Drouhin, 2016. "Non stationary additive utility and time consistency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01238584, HAL.
- Takeuchi, Kan, 2011. "Non-parametric test of time consistency: Present bias and future bias," Games and Economic Behavior, Elsevier, vol. 71(2), pages 456-478, March.
- Ali al-Nowaihi & Sanjit Dhami, 2021. "Preferences over Time and under Uncertainty: Theoretical Foundations," CESifo Working Paper Series 9215, CESifo.
- Arthur E. Attema & Han Bleichrodt & Kirsten I. M. Rohde & Peter P. Wakker, 2010. "Time-Tradeoff Sequences for Analyzing Discounting and Time Inconsistency," Management Science, INFORMS, vol. 56(11), pages 2015-2030, November.
- Méder, Zsombor Z. & Flesch, János & Peeters, Ronald, 2017.
"Naiveté and sophistication in dynamic inconsistency,"
Mathematical Social Sciences, Elsevier, vol. 87(C), pages 40-54.
- Méder, Z.Z. & Flesch, J. & Peeters, R.J.A.P., 2014. "Naiveté and sophistication in dynamic inconsistency," Research Memorandum 005, Maastricht University, Graduate School of Business and Economics (GSBE).
- Robin Chark & Soo Chew & Songfa Zhong, 2015. "Extended present bias: a direct experimental test," Theory and Decision, Springer, vol. 79(1), pages 151-165, July.
- Stephen L. Cheung, 2020.
"Eliciting utility curvature in time preference,"
Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 493-525, June.
- Cheung, Stephen L., 2015. "Eliciting utility curvature and time preference," Working Papers 2015-01, University of Sydney, School of Economics.
- Cheung, Stephen L., 2019. "Eliciting Utility Curvature in Time Preference," IZA Discussion Papers 12535, Institute of Labor Economics (IZA).
- repec:cup:judgdm:v:16:y:2021:i:6:p:1324-1369 is not listed on IDEAS
- Selçuk Onay & Ayse Öncüler, 2007. "Intertemporal choice under timing risk: An experimental approach," Journal of Risk and Uncertainty, Springer, vol. 34(2), pages 99-121, April.
- André Lapied & Olivier Renault, 2012.
"An Investigation of Time Consistency for Subjective Discontinued Utility,"
Working Papers
halshs-00793174, HAL.
- André Lapied & Olivier Renault, 2012. "An Investigation of Time Consistency for Subjective Discontinued Utility," AMSE Working Papers 1210, Aix-Marseille School of Economics, France.
More about this item
Keywords
rank dependent utility; intertemporal choice; life cycle theory of consumption and saving; uncertain lifetime; life insurance; time consistency; rank dependent utility.;All these keywords.
Statistics
Access and download statisticsCorrections
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:hal:wpaper:halshs-00748662. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.