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econ.TH2025
Risk-insurance parity
Benjamin Côté, Ruodu Wang, Qinyu Wu
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, whi…
econ.TH2025
Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao +2
This paper recasts Gul's (1991) theory of disappointment aversion in a Savage framework, with general outcomes, new explicit axioms of disappointment aversion, and novel explicit r…
econ.TH2024
Prudence and higher-order risk attitudes in the rank-dependent utility model
Ruodu Wang, Qinyu Wu
We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the litera…