The Geneva Papers on Risk and Insurance Theory
1573-6954
0926-4957
Cơ quản chủ quản: N/A
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Các bài báo tiêu biểu
Social Security with Heterogeneous Populations Subject to Demographic Shocks
Tập 26 - Trang 5-24 - 2001
In a previous paper, we showed how a pay-as-you-go social security scheme, based on voluntary contributions, can be an appropriate institution to reach an optimal sharing of risks among generations in the presence of demographic uncertainties. We study here the functioning of such schemes when there are different population strata, with different demographic shocks and wages. We show that while a......
An Extended Family of Financial-Risk Measures
Tập 23 - Trang 89-117 - 1998
Recalling the class of risk measures introduced by Stone [1973], the authors survey measures from different academic disciplines—including psychology, operations research, management science, economics, and finance—that have been introduced since 1973. We introduce a general class of risk measures that extends Stone's class to include these new measures. Finally, we give four axioms that describe ......
Diffidence Theorem, State-Dependent Preferences, and DARA
Tập 26 - Trang 139-154 - 2001
C. Gollier (The Economics of Risk and Time. Cambridge: MIT Press, 2001) has developed a standard technique based on the diffidence theorem. This theorem provides a very simple instrument to solve relatively sophisticated problems when preferences are state-independent. The object of this article is to show that the theorem is also very useful to derive significant results with state-dependent pref......
Public Versus Private Insurance with Dual Theory: A Political Economy Argument
Tập 26 - Trang 225-241 - 2002
This paper analyzes the political support for public insurance in the presence of a private insurance alternative. The public insurance is compulsory and offers a uniform insurance policy. The private insurance is voluntary and can offer different insurance policies. Adopting Yaari's [Econometrica, 55, 95–115, 1987] dual theory to expected utility (i.e., risk aversion without diminishing marginal ......
Portfolio Selection with Quadratic Utility Revisited
Tập 29 Số 2 - Trang 137-144 - 2004
Considering a simple portfolio selection problem by agents with quadratic utility, an apparently counterintuitive outcome results. When such a choice is over two assets that can be ordered in terms of riskiness, an agent that is more risk averse may optimally invest a larger portion of wealth in the riskier asset. It is shown that such an outcome is not counterintuitive, since for the portfolios f......
Non-Expected Utility and The Robustness of the Classical Insurance Paradigm: Discussion
Tập 20 - Trang 51-56 - 1995
This paper discusses some aspects of the robustness of the classical insurance paradigm with respect to departures from the independence axiom of expected utility theory. The discussion focuses on the significance of the distinction between risk aversion and outcome convexity and the role of smoothness of the preferences in non-expected-utility analysis of insurance.