Details

Autor(en) / Beteiligte

• Eichner, Thomas
• Wagener, Andreas

Titel

Insurance demand and first-order risk increases under (μ,σ)-preferences revisited

Ist Teil von

• Finance research letters, 2014-12, Vol.11 (4), p.326-331

Ort / Verlag

San Diego: Elsevier Inc

Erscheinungsjahr

2014

Quelle

ScienceDirect

Beschreibungen/Notizen

• In the mean–variance framework, insurance demand goes down when the expected size of insurable losses decreases or insurance premia increase if the elasticity of risk aversion with respect to expected wealth exceeds -1. In terms of the expected-utility approach, this condition is equivalent to the index of partial relative risk aversion being lower than one.