How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?

Jianli WANG, Hongxia WANG, Ho Yin YICK

Research output: Journal PublicationsJournal Article (refereed)

Abstract

This paper examines the determinants of optimal effort in an intertemporal self-protection model. We separate attitude toward risk and attitude toward intertemporal substitution by adopting Selden/Kreps–Porteus preferences. We not only explore the sufficient conditions on risk preferences for guaranteeing the unambiguous effects of changes in risk on the optimal effort level but also show how a change in risk aversion alone affects the optimal effort level.
Original languageEnglish
Pages (from-to)1-6
Number of pages6
JournalInsurance: Mathematics and Economics
Volume88
Early online date27 May 2019
DOIs
Publication statusPublished - 1 Sep 2019

Fingerprint

Risk Aversion
Substitution
Determinant
Sufficient Conditions
Self-protection
Risk aversion
Model

Keywords

  • Expected-utility
  • Intertemporal substitution
  • Risk aversion
  • Self-protection
  • Stochastic dominance

Cite this

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title = "How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?",
abstract = "This paper examines the determinants of optimal effort in an intertemporal self-protection model. We separate attitude toward risk and attitude toward intertemporal substitution by adopting Selden/Kreps–Porteus preferences. We not only explore the sufficient conditions on risk preferences for guaranteeing the unambiguous effects of changes in risk on the optimal effort level but also show how a change in risk aversion alone affects the optimal effort level.",
keywords = "Expected-utility, Intertemporal substitution, Risk aversion, Self-protection, Stochastic dominance",
author = "Jianli WANG and Hongxia WANG and YICK, {Ho Yin}",
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How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences? / WANG, Jianli; WANG, Hongxia; YICK, Ho Yin.

In: Insurance: Mathematics and Economics, Vol. 88, 01.09.2019, p. 1-6.

Research output: Journal PublicationsJournal Article (refereed)

TY - JOUR

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AU - WANG, Jianli

AU - WANG, Hongxia

AU - YICK, Ho Yin

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N2 - This paper examines the determinants of optimal effort in an intertemporal self-protection model. We separate attitude toward risk and attitude toward intertemporal substitution by adopting Selden/Kreps–Porteus preferences. We not only explore the sufficient conditions on risk preferences for guaranteeing the unambiguous effects of changes in risk on the optimal effort level but also show how a change in risk aversion alone affects the optimal effort level.

AB - This paper examines the determinants of optimal effort in an intertemporal self-protection model. We separate attitude toward risk and attitude toward intertemporal substitution by adopting Selden/Kreps–Porteus preferences. We not only explore the sufficient conditions on risk preferences for guaranteeing the unambiguous effects of changes in risk on the optimal effort level but also show how a change in risk aversion alone affects the optimal effort level.

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KW - Intertemporal substitution

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KW - Self-protection

KW - Stochastic dominance

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DO - 10.1016/j.insmatheco.2019.05.004

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