2015年9月
Expected utility and catastrophic consumption risk
INSURANCE MATHEMATICS & ECONOMICS
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- ,
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- 巻
- 64
- 号
- 開始ページ
- 306
- 終了ページ
- 312
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1016/j.insmatheco.2015.06.007
- 出版者・発行元
- ELSEVIER SCIENCE BV
An expected utility based cost-benefit analysis is, in general, fragile to distributional assumptions. We derive necessary and sufficient conditions on the utility function of consumption in the expected utility model to avoid this. The conditions ensure that expected (marginal) utility of consumption and the expected intertemporal marginal rate of substitution that trades off consumption and self-insurance remain finite, also under heavy-tailed distributional assumptions. Our results are relevant to various fields encountering catastrophic consumption risk in cost-benefit analysis. (C) 2015 Elsevier B.V. All rights reserved.
Web of Science ® 被引用回数 : 9
Web of Science ® の 関連論文(Related Records®)ビュー
- リンク情報
- ID情報
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- DOI : 10.1016/j.insmatheco.2015.06.007
- ISSN : 0167-6687
- eISSN : 1873-5959
- Web of Science ID : WOS:000362133800026